Modelling the dynamics of stock market in the gulf cooperation council countries: evidence on persistence to shocks

Financial Innovation

Table 1 Descriptive statistics of return series

Countries	DLKuwait	DLQatar	DLSaudi Arabia	DLUAE	DLBahrain	DLOman
Mean (%)	− 0.012	− 0.001	− 0.027	− 0.048	− 0.100	− 0.020
Std Dev (%)	1.533	1.677	1.840	2.095	1.335	1.396
Skewness	− 1.288	− 1.018	− 2.108	− 0.908	− 3.359	− 1.612
Kurtosis	17.317	16.958	29.805	15.728	42.223	29.72
JB × 10⁻⁴	1.709***	1.607***	5.945***	1.335***	28.686***	5.849***
Q(10)	26.240***	21.057***	31.776***	41.088***	32.782***	34.142***
ARCH (10)	29.556***	21.127***	13.238***	21.095***	12.498***	15.415***

JB is the statistic of Jarque and Bera test for normality, is the statistic of Ljung-Box test for serial correlation for order, and ARCH is the statistic of ARCH test for heteroskedasticity
*** denote significance at the 1% levels