Table 1 Descriptive statistics of return... | Emerald Publishing

Table 1

Descriptive statistics of return and return indices

	$i n r$	$b r l$	$i d r$	$t r y$	$t h b$	$p h p$	$p k r$	$e c r$	$s c r$
Obs	1,598	1,598	1,598	1,598	1,598	1,598	1,598	1,598	1,598
Mean	0.02	0.03	0.01	0.13	0.01	0.00	0.05	0.00	0.05
Maximum	2.94	7.01	4.58	20.54	1.95	2.96	14.54	22.68	20.08
Minimum	−1.87	−6.22	−3.86	−20.90	−1.92	−3.13	−14.87	−21.83	−18.31
Std. deviation	0.41	1.05	0.67	1.35	0.42	0.44	1.06	2.24	4.87
Skewness	0.53	0.08	0.20	0.20	0.02	−0.03	0.73	0.01	0.02
Kurtosis	4.94	3.50	6.42	78.91	2.08	5.84	57.50	22.77	2.74
JB	1,684***	812***	2,732***	411,994***	285***	2,255***	218,903***	34,286***	494***
BDS	12.94***	3.71***	10.50***	19.31***	7.18***	5.98***	12.04***	9.75***	24.77***
ADF	−11.6***	−11.3***	−10.0***	−11.9***	−10.8***	−11.3***	−12.2***	−11.3***	−11.5***
PP	−1,841***	−1,768***	−2,074***	−1,253***	−1,733***	−1,869***	−2,158***	−1,893***	−1,682***

	$i n r$	$b r l$	$i d r$	$t r y$	$t h b$	$p h p$	$p k r$	$e c r$	$s c r$
Obs	1,598	1,598	1,598	1,598	1,598	1,598	1,598	1,598	1,598
Mean	0.02	0.03	0.01	0.13	0.01	0.00	0.05	0.00	0.05
Maximum	2.94	7.01	4.58	20.54	1.95	2.96	14.54	22.68	20.08
Minimum	−1.87	−6.22	−3.86	−20.90	−1.92	−3.13	−14.87	−21.83	−18.31
Std. deviation	0.41	1.05	0.67	1.35	0.42	0.44	1.06	2.24	4.87
Skewness	0.53	0.08	0.20	0.20	0.02	−0.03	0.73	0.01	0.02
Kurtosis	4.94	3.50	6.42	78.91	2.08	5.84	57.50	22.77	2.74
JB	1,684***	812***	2,732***	411,994***	285***	2,255***	218,903***	34,286***	494***
BDS	12.94***	3.71***	10.50***	19.31***	7.18***	5.98***	12.04***	9.75***	24.77***
ADF	−11.6***	−11.3***	−10.0***	−11.9***	−10.8***	−11.3***	−12.2***	−11.3***	−11.5***
PP	−1,841***	−1,768***	−2,074***	−1,253***	−1,733***	−1,869***	−2,158***	−1,893***	−1,682***

Note(s): ***, ** and * implies null is rejected at 1%, 5% and 10% level of significance

Source(s): Authors’ estimations