Extreme dependencies and spillovers between gold and stock markets: evidence from MENA countries

Financial Innovation

Table 1 Descriptive statistics

	UAE	Bahrain	Egypt	Jordan	Kuwait	Lebanon	Morocco	Oman	Qatar	Saudi Arabia	Gold
Mean (%)	0.015	0.0015	0.0117	− 0.0100	− 0.0019	0.0005	0.0231	− 0.0066	0.0198	0.0064	0.0338
Max (%)	8.290	3.6131	10.988	4.6088	3.4196	8.4902	4.9922	8.0388	9.4219	8.7496	8.6249
Min (%)	− 8.679	− 4.9279	− 40.589	− 4.5256	− 6.2416	− 10.687	− 6.8181	− 8.6989	− 9.1569	− 10.519	− 9.8205
S. Dev. (%)	0.9712	0.4936	1.5777	0.7025	0.5765	0.9392	0.8819	0.8143	1.1685	1.1163	1.1115
Skewness	− 0.084	− 0.4184	− 4.9926	− 0.5087	− 1.2535	− 0.5442	− 0.1290	− 1.2916	− 0.3575	− 1.1079	− 0.3513
Kurtosis	17.29	12.81	118.89	11.40	13.78	32.01	7.90	29.75	13.65	20.31	9.11
J-B	51,578.70	16,466.46	2,297,435	12,171.36	20,814.91	143,154.5	4089.694	122,697.2	19,374.69	51,759.94	6433.869
Probability	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Correlation	− 0.0292	0.0093	− 0.0135	− 0.0022	0.0230	− 0.0314	0.1917	0.0064	0.0127	− 0.0026
ADF	− 40.16***	− 67.80***	− 40.05***	− 40.31***	− 23.11***	− 40.59***	− 64.85***	− 40.01***	− 65.35***	− 71.74***	− 63.94***
PP	-68.01***	-69.18***	-68.31***	-65.93***	-75.03***	-68.28***	-64.28***	-62.71***	-65.37***	-71.18***	-63.94***

This table presents the descriptive statistics of the price returns of stock markets of MENA region (UAE, Bahrain, Egypt, Jordan, Kuwait, Lebanon, Morocco, Oman, Qatar, Saudi Arabia) and the gold market. S.Dev implies standard deviation. J-B refers to Jarque Bera test. *** suggests significant at 1% level of significance