Financial Innovation

Table 2 Descriptive statistics

From: Interlinkages across US sectoral returns: time-varying interconnectedness and hedging effectiveness

	IND	UTI	EN	MAT	CS	HC	FIN	IT	RE
Mean	0.041	0.025	0.095	0.058	0.031	0.044	0.040	0.069	0.024
Variance	3.000***	2.893***	7.540***	3.158***	1.587***	1.881***	3.991***	4.095***	3.299***
Skewness	− 0.239***	0.223**	− 0.427***	− 0.289***	− 0.151*	− 0.127	− 0.111	− 0.114	− 0.810***
Kurtosis	10.142***	12.996***	8.053***	7.356***	12.758***	9.060***	10.525***	6.542***	12.722***
JB	3316.329***	5439.571***	2109.360***	1751.340***	5238.237***	2642.510***	3564.581***	1378.539***	5290.148***
ERS	− 11.927***	− 12.685***	− 10.674***	− 4.931***	− 12.599***	− 6.393***	− 7.138***	− 6.949***	− 8.804***
Q(20)	108.676***	125.311***	41.445***	104.435***	130.736***	180.889***	127.063***	128.276***	98.334***
Q2(20)	893.502***	1181.253***	365.524***	764.381***	1098.245***	1140.915***	904.922***	630.893***	632.893***

Kendall correlations
	IND	UTI	EN	MAT	CS	HC	FIN	IT	RE
IND	1.000***	0.401***	0.454***	0.706***	0.478***	0.466***	0.697***	0.468***	0.493***
UTI	0.401***	1.000***	0.196***	0.361***	0.523***	0.415***	0.343***	0.287***	0.525***
EN	0.454***	0.196***	1.000***	0.443***	0.224***	0.222***	0.475***	0.227***	0.243***
MAT	0.706***	0.361***	0.443***	1.000***	0.457***	0.470***	0.634***	0.459***	0.459***
CS	0.478***	0.523***	0.224***	0.457***	1.000***	0.497***	0.427***	0.390***	0.500***
HC	0.466***	0.415***	0.222***	0.470***	0.497***	1.000***	0.427***	0.475***	0.477***
FIN	0.697***	0.343***	0.475***	0.634***	0.427***	0.427***	1.000***	0.419***	0.438***
IT	0.468***	0.287***	0.227***	0.459***	0.390***	0.475***	0.419***	1.000***	0.434***
RE	0.493***	0.525***	0.243***	0.459***	0.500***	0.477***	0.438***	0.434***	1.000***

***,**,*represent 1%, 5%, and 10% statistical significance levels, respectively. ERS: Stock et al.’s (1996) unit root test

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