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Financial Innovation

Table 1 Descriptive statistics of oil price shocks and stock returns

From: Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries

  Mean Median Min Max SD Skewness Kurtosis JB ADF
Supply shock  − 0.001 0.018  − 2.684 2.713 0.848  − 0.008 3.905 8.662**  − 15.894***
Aggregate demand shock 0.028 0.034  − 4.778 3.072 1.052  − 0.314 5.024 38.717***  − 15.719***
Specific demand shock 0.048 0.127  − 5.181 2.276 0.955  − 0.855 5.819 70.946***  − 15.264***
CAC 40 0.000 0.008  − 0.192 0.126 0.052  − 0.691 4.116 33.379***  − 13.914***
DAX 30 0.003 0.075  − 1.019 0.464 0.275  − 1.510 5.367 155.825***  − 14.115***
FTSE MIB  − 0.000 0.007  − 0.149 0.083 0.040  − 0.792 4.089 39.101***  − 15.067***
N 225  − 0.002 0.002  − 0.222 0.341 0.070 0.224 5.621 74.849***  − 18.048***
FTSE 100 0.001 0.008  − 0.272 0.121 0.056  − 0.771 4.479 48.306***  − 13.795***
S&P500 0.003 0.009  − 0.186 0.102 0.043  − 0.802 4.445 49.346***  − 14.235***
TSX60 0.003 0.008  − 0.179 0.112 0.042  − 1.071 6.144 153.192***  − 12.557***
  1. ***, **, *Significance at the 1%, 5%, 10% level, respectively
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