4.2 Data and summary statistics
The data series examined in this chapter are the daily closing levels of the Amsterdam Stock Exchange Index (AEX-index) and the daily closing prices of all stocks listed in this index in the period January 3, 1983 through May 31, 2002. The AEX-index is a market-weighted average of the 25 most important stocks traded at the Amsterdam Stock Exchange. These stocks are chosen once a year and their selection is based on the value of trading turnover during the preceding year. At the moment of composition of the index the weights are restricted to be at maximum 10%. Table 4.1 shows an historical overview when and which stocks entered or left the index and in some cases the reason why. For example, Algemene Bank Nederland (ABN) merged with AMRO Bank at August 27, 1990 and the new combination was listed under the new name ABN AMRO Bank. In total we evaluate a set of 50 stocks. All data series are corrected for dividends, capital changes and stock splits. As a proxy for the risk-free interest rate we use daily data on Dutch monthly interbank rates. Table 4.2 shows for each data series the sample period and the largest cumulative loss, that is the largest decline from a peak to a through. Next, table 4.3 shows the summary statistics. Because the first 260 data points are used for initializing the technical trading strategies, the summary statistics are shown from January 1, 1984. The first and second column show the names of the data series examined and the number of available data points. The third column shows the mean yearly effective return in percentage/100 terms. The fourth through seventh column show the mean, standard deviation, skewness and kurtosis of the logarithmic daily return. The eight column shows the t-ratio to test whether the mean logarithmic daily return is significantly different from zero. The ninth column shows the Sharpe ratio, that is the extra return over the risk-free interest rate per extra point of risk, as measured by the standard deviation. The tenth column shows the largest cumulative loss of the stocks in percentage/100 terms. The eleventh column shows the Ljung-Box (1978) Q-statistic testing whether the first 20 autocorrelations of the return series as a whole are significantly different from zero. The twelfth column shows the heteroskedasticity adjusted Box-Pierce (1970) Q-statistic, as derived by Diebold (1986). The final column shows the Ljung-Box (1978) Q-statistic testing for autocorrelations in the squared returns.The mean yearly effective return of the AEX-index during the 1983-2002 period is equal to 10.4% and the yearly standard deviation is approximately equal to 19%. For the AEX-index and 21 stocks the mean logarithmic return is significantly positive, as tested with the simple t-ratios, while for 5 stocks the mean yearly effective return is severely and significantly negative. For example, the business firm Ceteco and truck builder Daf went
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