Table 9 Summary statistics of currency risk factors

Panel A: descriptive statistics

 Mean

0.21

0.22

0.25

0.13

 Std. Dev

1.06

0.80

1.11

1.54

 Skew

0.63

1.34

0.44

0.32

 Kurtosis

6.92

9.69

4.16

4.71

 Observations

116

116

116

116

Panel B: correlation matrix

 NCF full

1

 NCF floating

0.905***

1

 MOM full

0.009

0.171*

1

 MOM floating

0.223**

0.251***

0.430***

1