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Table 1 Descriptive statistics and preliminary tests on the data

From: Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?

  China France Germany Italy Russia Spain UK U.S
Mean 0.002 0.034 0.029 0.030 0.032 0.000 0.010 0.035
Variance 2.193 1.546 1.649 2.082 3.398 1.739 1.129 1.375
Skewness −1.139*** −1.344*** −0.871*** −2.126*** −0.849*** −2.202*** −0.988*** −1.087***
Kurtosis 7.036*** 15.402*** 14.281*** 26.074*** 8.802*** 25.231*** 17.225*** 24.133***
JB p value 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
ERS −11.138*** −5.272*** −10.716*** −8.481*** −2.908*** −3.252*** −3.708*** −3.031***
ADF −34.934*** −24.170*** −23.615*** −24.716*** −37.991*** −24.211*** −36.264*** −10.991***
PP −34.937*** −36.582*** −36.375*** −39.106*** −38.052*** −37.805*** −36.263*** −43.869***
Q(20) 22.303*** 16.165* 14.064 27.328*** 13.041 21.215*** 26.420*** 116.391***
Q2(20) 101.408*** 20.766** 98.182*** 1.716 188.782*** 6.79 70.659*** 301.223***
LM(20) 119.824*** 193.533*** 236.167*** 39.210*** 208.550*** 89.173*** 237.360*** 480.568***
Correlation matrix
China 1        
France 0.219 1       
Germany 0.207 0.942 1      
Italy 0.15 0.866 0.845 1     
Russia 0.183 0.552 0.515 0.493 1    
Spain 0.179 0.889 0.851 0.888 0.521 1   
UK 0.223 0.866 0.829 0.753 0.583 0.784 1  
US 0.179 0.605 0.583 0.551 0.384 0.581 0.601 1
  1. This table reports the descriptive statistics of the considered stock market returns. J.B. is the Jarque–Bera normality test statistics. ERP, ADF, and PP denote the Elliot-Rothenberg-Stock, Augmented Dicky-Fuller, and Phillip-Perron unit root test, respectively. Q(10) and Q2(10) are the Ljung-Box tests for 20th order serial correlations for returns and squared returns, respectively. L.M. (20) is the L.M. heteroscedasticity test at order 20. (***), (**), and (*) indicate the statistical significance, respectively, at 1%, 5%, and 10% levels