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Table 1 Summary table for descriptive statistics, unit root tests and correlations

From: The time-varying effects of oil prices on oil–gas stock returns of the fragile five countries

  Brazil India Indonesia
\({Roilgas}_{t}\) \({Roil}_{t}\) \({Rer}_{t}\) \({Rm}_{t}\) \({Roilgas}_{t}\) \({Roil}_{t}\) \({Rer}_{t}\) \({Rm}_{t}\) \({Roilgas}_{t}\) \({Roil}_{t}\) \({Rer}_{t}\) \({Rm}_{t}\)
Mean (× 102) 0.03 − 0.01 − 0.01 0.02 0.02 0.01 0.00 0.03 0.01 0.00 0.01 0.02
Median (× 102) 0.00 0.00 − 0.03 0.00 − 0.01 0.00 − 0.02 0.03 − 0.03 0.00 − 0.01 0.00
Maximum 0.24 0.18 0.11 0.29 0.22 0.18 0.03 0.15 0.69 0.18 0.24 0.13
Minimum − 0.21 − 0.20 − 0.12 − 0.17 − 0.23 − 0.20 − 0.03 − 0.13 − 1.10 − 0.20 − 0.21 − 0.13
SD 0.03 0.02 0.01 0.02 0.02 0.02 0.00 0.01 0.06 0.02 0.01 0.01
Skewness 0.02 − 0.02 0.42 0.27 − 0.28 − 0.02 0.30 − 0.45 − 0.51 − 0.02 2.01 − 0.26
Kurtosis 9.05 7.90 18.87 17.57 18.17 7.90 11.50 10.84 47.86 7.90 90.79 12.31
Jarque–Bera 9413.55*** 6187.23*** 64,975.35*** 54,705.59*** 18,674.86*** 6187.08*** 18,674.86*** 16,032.23*** 59,311.91*** 6187.08*** 18,674.86*** 16,032.23***
ADF statistic − 76.54*** − 77.75*** − 57.15*** − 78.09*** − 71.92*** − 77.75*** − 31.58*** − 71.90*** − 46.44*** − 77.74*** − 10.62*** − 68.58***
PP statistic − 76.51*** − 77.77*** − 75.18*** − 78.20*** − 71.92*** − 77.77*** − 75.32*** − 72.29*** − 89.47*** − 77.75*** − 69.26*** − 68.48***
Correlation with exchange rate − 0.25 − 0.17 1 − 0.25 − 0.26 − 0.11 1 − 0.32 − 0.10 − 0.06 1 − 0.24
correlation with oil price 0.23 1 − 0.17 0.11 0.07 1 − 0.11 0.09 0.05 1 − 0.06 0.10
  South Africa Turkey
\({Roilgas}_{t}\) \({Roil}_{t}\) \({Rer}_{t}\) \({Rm}_{t}\) \({Roilgas}_{t}\) \({Roil}_{t}\) \({Rer}_{t}\) \({Rm}_{t}\)
Mean (× 102) 0.01 0.00 0.00 0.02 0.03 − 0.04 0.02 0.03
Median (× 102) − 0.02 0.00 − 0.03 0.00 − 0.02 − 0.01 − 0.01 0.00
Maximum 0.14 0.18 0.10 0.07 0.18 0.18 0.37 0.18
Minimum − 0.17 − 0.20 − 0.09 − 0.13 − 0.18 − 0.20 − 0.17 − 0.20
SD 0.02 0.02 0.01 0.01 0.03 0.02 0.01 0.02
Skewness − 0.09 − 0.02 0.27 − 0.45 0.28 − 0.03 7.87 − 0.11
Kurtosis 8.23 7.90 8.63 9.40 8.74 7.91 283.94 10.39
Jarque–Bera 7053.77*** 6185.33*** 8236.18*** 10,762.65*** 8554.54*** 6190.77*** 20,368,382.00*** 14,060.49***
ADF statistic − 47.77805*** − 77.76266*** − 76.18*** − 74.50*** − 53.79*** − 77.69*** − 59.35*** − 77.10***
PP statistic − 73.65621*** − 77.77754*** − 76.17*** − 74.41*** − 78.94*** − 77.71*** − 71.05*** − 77.14***
Correlation with exchange rate − 0.10 − 0.18 1 − 0.17 − 0.16 − 0.09 1 − 0.27
Correlation with oil price 0.24 1 − 0.18 0.21 0.06 1 − 0.09 0.08
  1. This table provides the descriptive statistics of the daily industry and market excess returns, oil prices, exchange rates for the period of 29/05/1996 to 27/01/2020. Jarque–Bera test (JB test) is shown for normality based on skewness and kurtosis coefficients. Augmented Dickey–Fuller (ADF) and Phillips–Perron unit root tests are also represented, respectively. In the last two rows, we represent the correlations with respect to exchange rate and oil price. The sign of *, ** and *** show the statistical significance at the level of 10%, 5% and 1%, respectively