Table 1 Descriptive statistics and preliminary tests on the data

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