Table 3 Normality test (Jarque–Bera test...

Table 3

Normality test (Jarque–Bera test of closing prices)

	NIFTY50	S&P 500	STI Singapore	Hang Seng	Nikkei 225	FTSE 100	Shanghai Co
2008–2019
JB statistic	2E+02***	2E+02***	3E+03***	4E+01***	3E+02***	1E+02***	1E+03***
p-value	2E−39	9E−42	0E+00	2E−10	2E−57	3E−33	1E−244
Skewness	3E−01	3E−01	−2E+00	−2E−01	1E−01	−5E−01	1E+00
Kurtosis	2E+00	2E+00	7E+00	3E+00	2E+00	3E+00	5E+00
Jan 2008–Dec 2011
JB statistic	1E+02***	6E+01***	2E+02***	1E+02***	1E+02***	9E+01***	1E+03***
p-value	1E−31	1E−13	1E−50	2E−26	5E−31	3E−21	2E−240
Skewness	−9E−01	−5E−01	−1E+00	−8E−01	9E−01	−7E−01	1E+00
Kurtosis	3E+00	2E+00	3E+00	3E+00	3E+00	3E+00	7E+00
Dec 2011–Dec 2015
JB statistic	1E+02***	9E+01***	4E+01***	4E+01***	5E+01***	8E+01***	6E+02***
p-value	1E−22	1E−20	1E−08	2E−08	4E−12	1E−18	2E−124
Skewness	3E−01	−2E−01	−4E−01	4E−01	−5E−02	−6E−01	2E+00
Kurtosis	2E+00	2E+00	3E+00	4E+00	2E+00	2E+00	5E+00
Dec 2015–Dec 2019
JB statistic	7E+01***	6E+01***	3E+01***	4E+01***	7E+01***	2E+02***	1E+01***
p-value	8E−16	5E−14	1E−07	6E−10	5E−16	4E−47	2E−03
Skewness	−4E−01	−2E−01	−3E−01	−3E−01	−5E−01	−1E+00	−1E−01
Kurtosis	2E+00	2E+00	2E+00	2E+00	2E+00	3E+00	3E+00
(Jarque–Bera test of VAR Model Residuals) 2008–2019
JB statistic	7E+03***	2E+03***	2E+03***	9E+03***	2E+04***	7E+02***	5E+03***
p-value	0.00	0.00	0.00	0.00	0.00	3E−172	0.00
Skewness	−3E−02	−6E−01	−2E−01	−3E−01	−9E−01	−2E−01	−4E−01
Kurtosis	1E+01	7E+00	7E+00	1E+01	2E+01	5E+00	9E+00

	NIFTY50	S&P 500	STI Singapore	Hang Seng	Nikkei 225	FTSE 100	Shanghai Co
2008–2019
JB statistic	2E+02***	2E+02***	3E+03***	4E+01***	3E+02***	1E+02***	1E+03***
p-value	2E−39	9E−42	0E+00	2E−10	2E−57	3E−33	1E−244
Skewness	3E−01	3E−01	−2E+00	−2E−01	1E−01	−5E−01	1E+00
Kurtosis	2E+00	2E+00	7E+00	3E+00	2E+00	3E+00	5E+00
Jan 2008–Dec 2011
JB statistic	1E+02***	6E+01***	2E+02***	1E+02***	1E+02***	9E+01***	1E+03***
p-value	1E−31	1E−13	1E−50	2E−26	5E−31	3E−21	2E−240
Skewness	−9E−01	−5E−01	−1E+00	−8E−01	9E−01	−7E−01	1E+00
Kurtosis	3E+00	2E+00	3E+00	3E+00	3E+00	3E+00	7E+00
Dec 2011–Dec 2015
JB statistic	1E+02***	9E+01***	4E+01***	4E+01***	5E+01***	8E+01***	6E+02***
p-value	1E−22	1E−20	1E−08	2E−08	4E−12	1E−18	2E−124
Skewness	3E−01	−2E−01	−4E−01	4E−01	−5E−02	−6E−01	2E+00
Kurtosis	2E+00	2E+00	3E+00	4E+00	2E+00	2E+00	5E+00
Dec 2015–Dec 2019
JB statistic	7E+01***	6E+01***	3E+01***	4E+01***	7E+01***	2E+02***	1E+01***
p-value	8E−16	5E−14	1E−07	6E−10	5E−16	4E−47	2E−03
Skewness	−4E−01	−2E−01	−3E−01	−3E−01	−5E−01	−1E+00	−1E−01
Kurtosis	2E+00	2E+00	2E+00	2E+00	2E+00	3E+00	3E+00
(Jarque–Bera test of VAR Model Residuals) 2008–2019
JB statistic	7E+03***	2E+03***	2E+03***	9E+03***	2E+04***	7E+02***	5E+03***
p-value	0.00	0.00	0.00	0.00	0.00	3E−172	0.00
Skewness	−3E−02	−6E−01	−2E−01	−3E−01	−9E−01	−2E−01	−4E−01
Kurtosis	1E+01	7E+00	7E+00	1E+01	2E+01	5E+00	9E+00

Note(s): * means significant at the 10% level, ** means significant at the 5% level and *** means significant at the 1% level

Source(s): Own elaboration

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