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Table 1 Summary Statistics on Stock Returns, Potential Maximum Gains, Potential Maximum Losses

From: Timing the market: the economic value of price extremes

  Panel A. Monthly Index Data Panel B. Quarterly Index Data
r t P MG t P ML t r t P MG t P ML t
Mean 6.051E-03 0.033 0.027 0.018 0.063 0.045
Std.Dev 0.042 0.025 0.029 0.078 0.045 0.051
Maxi 0.151 0.178 0.267 0.195 0.238 0.313
Mini -0.245 0.000 0.000 -0.303 0.000 0.000
Skew -0.655 1.413 2.373 -0.949 1.034 2.268
Kurt 5.435 6.358 12.771 4.920 4.00 9.143
J-B stat 251.9 635.7 3893.8 79.9 58.0 641.4
Prob 0.000 0.000 0.000 0.000 0.000 0.000
   Auto-Correlation Function (lag)   
ACF(1) 0.046 0.083 0.279 0.085 0.185 0.220
ACF(3) 0.043 0.176 0.169 -0.042 -0.064 0.059
ACF(6) -0.058 0.060 0.074 -0.033 -0.068 0.029
ACF(9) -0.021 0.062 0.091 -0.004 0.010 -0.063
ACF(12) 0.050 0.081 0.129 0.007 -0.075 -0.008
Q(12) 16.41 97.56*** 203.81*** 9.57 17.84* 24.39**
Obs 263 264 264 792 792 792
  1. Note. J-B stat means the Jarque-Bera statistics. Q(12) represents the Ljung-Box Q statistics.***, **, * means respectively statistical significance at the level of 1%, 5% and 10%