Skip to main content

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
  1. J–B stands for Jarque–Bera test of normality. ADF and KPSS test unit root and stationarity, respectively
  2. ***Indicates rejection of null hypothesis of normality and unit root at 1% level of significance