Table 1 Descriptive and statistical properties of returns series
From: Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spillovers
Sectors | Symbols | Mean | SD | Skewness | Kurtosis | J-B | ADF | KPSS |
|---|---|---|---|---|---|---|---|---|
Energy | EN | 0.000 | 1.756 | − 0.839 | 20.118 | 61,100.8*** | − 76.96*** | 0.413 |
Financials | FIN | 0.003 | 1.910 | − 0.227 | 20.774 | 65,295.1*** | − 33.44*** | 0.112 |
Industrials | IND | 0.020 | 1.352 | − 0.447 | 12.070 | 17,157.8*** | − 74.73*** | 0.063 |
Utilities | UTL | 0.015 | 1.236 | − 0.043 | 18.492 | 49,573.0*** | − 76.96*** | 0.093 |
Consumer Services | CS | 0.023 | 0.906 | − 0.168 | 16.750 | 39,074.5*** | − 79.44*** | 0.060 |
Healthcare | HC | 0.023 | 1.102 | − 0.215 | 12.971 | 20,571.3*** | − 76.39*** | 0.279 |
Information Technology | IT | 0.037 | 1.507 | − 0.109 | 11.008 | 13,253.9*** | − 78.47*** | 0.331 |
Materials | MAT | 0.023 | 1.520 | − 0.434 | 11.449 | 14,900.7*** | − 74.60*** | 0.024 |
Consumer Discretionary | CD | 0.035 | 1.336 | − 0.281 | 12.339 | 18,077.1*** | − 74.47*** | 0.187 |
Real estate | RE | 0.018 | 1.942 | − 0.201 | 22.388 | 77,672.1*** | − 85.47*** | 0.042 |
Overall stock market index | MKT | 0.023 | 1.220 | − 0.447 | 15.930 | 34,695.5*** | − 80.16*** | 0.135 |