Timing the market: the economic value of price extremes

Financial Innovation

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

	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

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%