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Financial Innovation

Table 1 Summary statistics of stock indices in different markets

From: Dynamic spatiotemporal correlation coefficient based on adaptive weight

Stage 1

Ordinal

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15

index

DJI.GI

000001.SH

FTSE.GI

FCHI.GI

GDAXI.GI

SSMI.GI

BFX.GI

AEX.GI

OSEAX.GI

ITLMS.GI

IBEX.GI

OMXS30.ST

RTS.GI

TA100.GI

N225.GI

mean

12176.74

3627.20

5871.30

5018.19

6824.31

7934.17

3749.41

455.69

494.60

35183.92

13310.29

1025.33

1831.16

976.21

14502.75

min

7552.29

1696.48

3780.96

2881.26

4127.41

5144.02

1783.70

222.93

232.29

18379.68

7905.40

567.61

500.90

544.13

7101.45

max

14164.53

6092.06

6732.40

6168.15

8105.69

9531.46

4756.82

561.90

605.05

45071.35

15945.70

1311.87

2487.92

1189.04

18280.31

s.d.

1535.76

1180.22

750.38

868.77

988.30

1190.43

848.71

91.54

95.89

7545.74

2045.50

202.83

496.96

162.40

2958.77

skewness

−1.34

0.18

−1.23

−0.81

−0.96

−0.53

−0.99

−1.21

−1.46

−0.67

−1.03

−0.53

−1.44

−1.26

−0.74

kurtosis

3.91

1.94

3.49

2.62

3.26

2.15

2.90

3.44

4.12

2.34

3.02

2.21

4.06

3.84

2.67

JB

168.47 ***

26.18 ***

131.82 ***

57.66 ***

78.81 ***

39.15 ***

82.40 ***

126.48 ***

205.65***

47.39 ***

89.11 ***

37.17 ***

198.28 ***

147.93 ***

48.42 ***

Ordinal

16

17

18

19

20

21

22

23

24

25

26

27

28

29

 

index

HSI.HI

TWII.TW

SENSEX.GI

PSI.GI

KLSE.GI

JKSE.GI

KS11.GI

STI.GI

AORD.GI

NZ50.GI

GSPTSE.GI

MXX.GI

IBOVESPA.GI

MERV.GI

 

mean

21991.57

7751.30

14954.14

3010.35

1226.59

2135.83

1623.85

3011.61

5611.15

3719.85

13025.61

28175.04

54196.55

1953.36

 

min

11015.84

4089.93

8451.01

1704.41

829.41

1102.95

938.75

1600.28

3332.60

2575.48

7724.76

16868.66

29435.11

828.99

 

max

31638.22

9809.88

21113.33

3873.50

1516.22

2830.26

2064.85

3831.19

6853.60

4355.36

15073.13

32836.12

73624.00

2351.44

 

s.d.

4101.59

1434.20

2876.92

551.88

169.36

430.77

263.85

546.24

869.58

512.12

1675.93

3531.88

9859.65

378.79

 

skewness

−0.29

−1.15

−0.15

−0.62

−0.85

−0.57

−0.63

−1.24

−1.07

−0.66

−1.80

−1.27

−0.36

−1.71

 

kurtosis

2.99

3.46

2.86

2.51

2.83

2.63

2.70

3.77

3.40

2.22

5.18

3.91

2.28

4.71

 

JB

7.19 **

114.67 ***

2.22

36.95 ***

61.54 ***

29.71 ***

35.58 ***

142.46 ***

99.17 ***

49.78 ***

372.71 ***

152.53 ***

21.87***

308.28 ***

 

Stage 2

Ordinal

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15

ndex

DJI.GI

000001.SH

FTSE.GI

FCHI.GI

GDAXI.GI

SSMI.GI

BFX.GI

AEX.GI

OSEAX.GI

ITLMS.GI

IBEX.GI

OMXS30.ST

RTS.GI

TA100.GI

N225.GI

mean

12721.59

248

4.52

5772.62

3724.03

7096.34

6828.71

2536.92

338.09

479.62

19595.66

9463.78

1093.12

1394.59

1070.07

11178.51

min

6512.51

1863.37

3466.74

2519.29

3661.91

4251.77

1508.31

196.91

239.48

13270.55

5956.30

596.79

475.65

540.30

7054.98

max

18038.23

3471.44

6879.50

4595.00

10087.12

9212.85

3335.69

431.06

704.83

24981.52

12222.50

1478.93

2123.56

1326.09

17935.64

s.d.

2713.80

377.17

756.79

449.09

1562.48

1110.81

368.78

47.28

102.85

2804.16

1374.64

190.82

305.95

159.72

2640.98

skewness

0.06

0.52

−0.64

−0.22

0.20

0.35

−0.02

−0.37

0.14

−0.25

−0.25

−0.22

−0.50

−1.03

0.82

kurtosis

2.14

2.09

3.00

2.27

2.18

2.11

2.64

2.96

2.75

1.90

2.20

2.80

3.83

4.27

2.30

JB

47.62 ***

119.97 ***

105.07***

46.26***

52.64 ***

80.21 ***

8.25 **

34.69***

9.08

92.90***

56.03***

15.22***

107.44***

372.67 ***

199.66 ***

Ordinal

16

17

18

19

20

21

22

23

24

25

26

27

28

29

 

index

HSI.HI

TWII.TW

SENSEX.GI

PSI.GI

KLSE.GI

JKSE.GI

KS11.GI

STI.GI

AORD.GI

NZ50.GI

GSPTSE.GI

MXX.GI

IBOVESPA.GI

MERV.GI

 

mean

21221.87

7854.30

18630.94

4781.32

1525.54

3734.51

1842.68

2944.04

4693.16

3796.27

12456.05

36490.48

57898.59

3650.32

 

min

11344.58

4242.61

7935.55

1759.33

838.39

1256.11

1018.81

1456.95

3111.70

2417.95

7566.94

16929.80

36234.69

930.12

 

max

25567.57

9571.86

28693.99

7392.20

1892.65

5229.15

2224.75

3454.37

5656.91

5592.33

15687.77

46313.40

72995.69

12975.48

 

s.d.

2525.39

1003.57

3797.30

1591.52

262.54

1031.67

232.50

386.61

528.18

826.11

1514.42

6465.35

7732.46

2302.99

 

Ordinal

16

17

18

19

20

21

22

23

24

25

26

27

28

29

 

skewness

−1.50

−1.24

0.15

−0.06

−0.71

−0.64

−1.41

−1.86

−0.42

0.60

−0.43

−0.97

−0.25

1.74

 

kurtosis

5.61

5.44

4.27

1.83

2.88

2.58

4.72

6.54

2.90

2.03

3.71

3.51

2.61

5.51

 

JB

999.46 ***

769.56 ***

107.21 ***

88.12 ***

129.46 ***

116.23***

688.70***

1665.67 ***

45.49 ***

149.85 ***

77.99 ***

254.16 ***

25.62***

1163.12***

 
  1. 1. The first stage is global financial crisis which refers to the period January 4, 2007 to December 31, 2008; the second stage is European debt crisis and other local crisis, which is the period during January 2, 2009 to December 31, 2014
  2. 2. Indices in developed stock markets include DJI.GI, FTSE.GI, FCHI.GI, GDAXI.GI, SSMI.GI, BFX.GI, AEX.GI, OSEAX.GI, ITLMS.GI, IBEX.GI, OMXS30.ST, TA100.GI, N225.GI, HSI.HI, STI.GI, AORD.GI, NZ50.GI and GSPTSE.GI. Correspondingly, indices in emerging stock markets involve 000001.SH, RTS.GI, TWII.TW, SENSEX.GI, PSI.GI, KLSE.GI, JKSE.GI, KS11.GI, MXX.GI, IBOVESPA.GI and MERV.GI
  3. 3. ***, **, and * represent significance at the 1%, 5%, and 10% level, respectively
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