Statistic | DJIA | S&P 500 | NASDAQ | Russell 2000 |
---|---|---|---|---|
Minimum | 2.9806e + 04 | 2.0631e + 04 | 1.1773e + 03 | 174.9000 |
Mean | 3.4008e + 04 | 2.3318e + 04 | 1.3772e + 04 | 2.0338e + 03 |
Median | 34,367 | 2.3554e + 04 | 1.4497e + 04 | 2.0346e + 03 |
Variance | 2.6599e + 06 | 1.0900e + 06 | 9.1354e + 06 | 7.9047e + 04 |
Maximum | 36,675 | 2.5267e + 04 | 16,575 | 2.5932e + 03 |
Standard deviation | 1.6309e + 03 | 1.0440e + 03 | 3.0225e + 03 | 281.1527 |
Skewness |  − 0.6243 |  − 0.5313 |  − 2.9437 |  − 2.9336 |
Kurtosis | 2.4683 | 2.4387 | 12.6564 | 19.8676 |
Correlation coefficient | 0.0205 | 0.0721 |  − 0.5124 |  − 0.4951 |
Lijung-Box test | h = 1, p = 0.0000 | h = 1, p = 0.0000 | h = 1, p = 0.0000 | h = 1, p = 0.0000 |
KPSS test | h = 1, p = 0.0100 | h = 1, p = 0.0100 | h = 1, p = 0.0100 | h = 1, p = 0.0100 |
ADF test | h = 0, p = 0.5089 | h = 0, p = 0.8077 | h = 0, p = 0.0626 | h = 0, p = 0.2266 |
PP test | h = 0, p = 0.5089 | h = 0, p = 0.8077 | h = 0, p = 0.0626 | h = 0, p = 0.2266 |