Table 2 Descriptive statistics of index returns during the COVID-19 period.
From: Impact of COVID-19 on jump occurrence in capital markets
Indices | SSE | CAC 40 | DAX 30 | MIB | FTSE 100 | SP500 | Average |
|---|---|---|---|---|---|---|---|
(China) | (France) | (Germany) | (Italy) | (UK) | (USA) | ||
Mean | 0.0409 | 0.0474 | 0.0482 | 0.0447 | 0.0058 | 0.0924 | 0.0466 |
Max | 5.7114 | 8.3895 | 10.9759 | 8.9256 | 9.0535 | 9.3828 | 8.7398 |
Min | −7.7244 | −12.2768 | −12.2386 | −16.9238 | −10.8745 | −11.9841 | −12.004 |
Std. Dev | 1.1152 | 1.5679 | 1.6004 | 1.7054 | 1.4229 | 1.6420 | 1.5090 |
Skewness | −0.7220 | −1.0685 | −0.6738 | −2.3651 | −0.9192 | −0.6695 | −1.0697 |
Kurtosis | 9.5956 | 15.0683 | 15.7396 | 27.2443 | 14.7555 | 16.6458 | 16.5082 |
JB test | 921.24*** | 3217.02*** | 3473.75*** | 12940.6*** | 2984.81*** | 3947.99*** | |
ADF | −8.6653*** | −7.7199*** | −8.0108*** | −8.0876*** | −8.0102*** | −7.9977*** | |
ARCH LM | 17.3* | 124.71 *** | 124.35*** | 87.336*** | 136.8*** | 222.22*** |
