Table 2. Descriptive Statistics for SPDR and iShares Returns, 18/03/1996-20/01/2005
|
Canada |
France |
Germany |
Italy |
Japan |
UK |
USA | |
|
Mean |
0.000310 |
0.000252 |
0.000112 |
0.000264 |
-0.00016 |
0.000146 |
0.000254 |
|
Maximum |
0.056 |
0.065 |
0.084 |
0.085 |
0.123 |
0.058 |
0.065 |
|
Minimum |
-0.087 |
-0.090 |
-0.111 |
-0.093 |
-0.069 |
-0.075 |
-0.064 |
|
Std. Deviation |
0.014 |
0.015 |
0.017 |
0.016 |
0.017 |
0.012 |
0.014 |
|
Skewness |
-0.356 |
-0.160 |
-0.265 |
-0.336 |
0.390 |
-0.066 |
-0.058 |
|
Kurtosis |
5.879 |
5.117 |
6.358 |
6.076 |
6.554 |
5.822 |
4.851 |
|
Jarque-Bera |
845.988 |
440.90 |
1111.35 |
953.26 |
1273.12 |
767.64 |
330.68 |
|
Prob (Jarque-Bera) |
0.00 |
00.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
|
Observations |
2308 |
2308 |
2308 |
2308 |
2308 |
2308 |
2308 |
28
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