From: Volatility spillovers, structural breaks and uncertainty in technology sector markets
 | Mean (%) | SD | Skewness | Kurtosis | Jarque−Bera | ADF(c) | ADF(ct) | PP | Q (10) | ARCH− LM(10) | Obs |
---|---|---|---|---|---|---|---|---|---|---|---|
Panel A: Technology assets | |||||||||||
ATE | 0.026 | 0.015 | 0.047 | 7.670 | 4769.4*** | − 31.71(5)*** | − 31.77(5)*** | − 74.25*** | 16.36** | 1026.0*** | 5240 |
MIT | 0.009 | 0.014 | 0.016 | 8.305 | 6152.8*** | − 36.71(3)*** | − 36.83(3)*** | − 67.24*** | 23.88*** | 888.58*** | 5240 |
ABI | 0.048 | 0.020 | − 0.080 | 7.766 | 4971.3*** | − 31.37(5)*** | − 31.37(5)*** | − 70.96*** | 24.23*** | 828.39*** | 5240 |
SPC | 0.006 | 0.017 | − 0.569 | 18.21 | 41,034.0*** | − 55.59(0)*** | − 55.58(0)*** | − 55.24*** | 117.7*** | 1462.5*** | 4225 |
FIN | 0.086 | 0.011 | − 0.772 | 6.844 | 636.12*** | − 28.70(0)*** | − 28.69(0)*** | − 28.67*** | 7.693 | 86.391*** | 883 |
BTC | 0.215 | 0.044 | − 0.141 | 7.839 | 1378.9*** | − 36.42 (0)*** | − 36.41(0)*** | − 36.43*** | 7.180 | 96.661*** | 1402 |
Panel B: Financial assets | |||||||||||
SP5 | 0.015 | 0.012 | − 0.232 | 12.08 | 18,068.7*** | − 55.89(1)*** | − 55.93(1)*** | − 78.66*** | 59.38*** | 1337.5*** | 5240 |
MWO | 0.010 | 0.010 | − 0.387 | 11.21 | 14,876.5*** | − 51.08(1)*** | − 51.10(1)*** | − 63.65*** | 70.64*** | 1519.9*** | 5240 |
ESG | 0.028 | 0.010 | − 0.318 | 9.085 | 7480.3*** | − 61.72(0)*** | − 61.71(0)*** | − 61.41*** | 58.70*** | 1138.2*** | 4790 |
OIL | 0.013 | 0.023 | − 0.112 | 7.427 | 4295.4*** | − 75.42(0)*** | − 75.42(0)*** | − 75.54*** | 26.20*** | 594.52*** | 5240 |
GLD | 0.032 | 0.011 | − 0.216 | 9.267 | 8624.8*** | − 52.42(1)*** | − 52.43(1)*** | − 73.36*** | 10.58 | 224.86*** | 5240 |
USD | 0.002 | 0.006 | 0.138 | 5.787 | 1715.3*** | − 71.63(0)*** | − 71.64(0)*** | − 71.63*** | 4.840 | 300.95*** | 5240 |
BND | 0.007 | 0.003 | − 0.079 | 7.298 | 4044.5*** | − 54.51(1)*** | − 54.51(1)*** | − 73.79*** | 24.65 | 458.28*** | 5240 |