A new analytical approach for identifying market contagion

Lee, Hee Soo; Kim, Tae Yoon

doi:10.1186/s40854-022-00339-4

Financial Innovation

Table 2 Descriptive statistics of aggregate stock market indices

From: A new analytical approach for identifying market contagion

	Crisis period (August 1, 2007 to March 31, 2009, n = 435)				Tranquil period (January 1, 2004 to October 30, 2009, excluding crisis period, n = 1087)
	Mean	Std. Dev	Maximum	Minimum	Mean	Std. Dev	Maximum	Minimum
Australia	− 0.0013	0.0287	0.0874	− 0.1477	0.0012	0.0116	0.0603	− 0.0514
Austria	− 0.0021	0.0218	0.1015	− 0.0779	0.0013	0.0101	0.0404	− 0.0594
Belgium	− 0.0020	0.0198	0.0829	− 0.0783	0.0010	0.0078	0.0355	− 0.0375
Canada	− 0.0008	0.0211	0.0982	− 0.0932	0.0007	0.0088	0.0393	− 0.0441
Denmark	− 0.0014	0.0213	0.1024	− 0.1065	0.0011	0.0093	0.0576	− 0.0424
Finland	− 0.0018	0.0215	0.0925	− 0.0762	0.0009	0.0116	0.0645	− 0.0882
France	− 0.0016	0.0220	0.0993	− 0.0988	0.0010	0.0096	0.0623	− 0.0430
Germany	− 0.0012	0.0209	0.1140	− 0.0716	0.0009	0.0104	0.0607	− 0.0407
Hong Kong	− 0.0008	0.0283	0.1435	− 0.1270	0.0011	0.0111	0.0741	− 0.0400
Ireland	− 0.0028	0.0272	0.0977	− 0.1354	0.0010	0.0121	0.0551	− 0.0633
Israel	− 0.0010	0.0188	0.1028	− 0.0708	0.0010	0.0102	0.0506	− 0.0454
Italy	− 0.0018	0.0239	0.1191	− 0.1033	0.0009	0.0103	0.0591	− 0.0473
Japan	− 0.0016	0.0227	0.1373	− 0.0952	0.0006	0.0104	0.0461	− 0.0568
Netherlands	− 0.0020	0.0212	0.0975	− 0.0881	0.0009	0.0088	0.0520	− 0.0402
New Zealand	− 0.0017	0.0198	0.0970	− 0.0833	0.0009	0.0099	0.0382	− 0.0453
Norway	− 0.0015	0.0339	0.1489	− 0.1270	0.0016	0.0162	0.0816	− 0.0813
Portugal	− 0.0016	0.0174	0.1023	− 0.1010	0.0009	0.0064	0.0336	− 0.0276
Singapore	− 0.0016	0.0187	0.0928	− 0.0763	0.0012	0.0091	0.0611	− 0.0391
Spain	− 0.0014	0.0209	0.1037	− 0.0923	0.0010	0.0088	0.0474	− 0.0404
Sweden	− 0.0014	0.0215	0.0901	− 0.0712	0.0011	0.0104	0.0551	− 0.0534
Switzerland	− 0.0012	0.0173	0.1031	− 0.0700	0.0007	0.0072	0.0314	− 0.0345
UK	− 0.0017	0.0251	0.1254	− 0.0987	0.0009	0.0100	0.0697	− 0.0447
US	− 0.0011	0.0229	0.1158	− 0.0903	0.0005	0.0081	0.0381	− 0.0428
Average	− 0.0015	0.0225	0.1068	− 0.0948	0.0010	0.0099	0.0528	− 0.0482

This table shows the summary statistics of the aggregate stock market indices’ daily returns for the developed markets during the crisis and tranquil periods. The crisis period spans August 1, 2007 to March 31, 2009, and the tranquil period spans January 1, 2004 to October 31, 2009, excluding the crisis period

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