interest rate we use for most countries daily data on 1-month interbank interest rates when available or otherwise rates on 1-month certificates of deposits. Table 5.1 shows the summary statistics of the stock market indices expressed in local currency, while table 5.2 shows the summary statistics if the stock market indices are expressed in US Dollars. Hence in table 5.2 it can be seen whether the behavior of the exchange rates of the local currencies against the US Dollar alters the features of the local main stock market data. Because the first 260 data points are used for initializing the technical trading strategies, the summary statistics are shown from January 1, 1982. In the tables the first and second column show the names of the indices 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 daily logarithmic 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. The tenth column shows the largest cumulative loss, that is the largest decline from a peak to a through, of the indices in percentage/100 terms. The eleventh column shows for each stock market index 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 MSCI World Index during the 1982-2002 period is equal to 8.38% and the yearly standard deviation of the returns is approximately equal to 12%. Measured in local currency 7 indices show a negative mean yearly effective return, although not significantly. These are stock market indices mainly in Asia, Eastern Europe and Latin America. For 17 indices a significantly positive mean return is found, mainly for the West European and US indices, but also for the Egyptian CMA and the Israeli TA100 index. If measured in US Dollars, then the number of indices which show a negative mean return more than doubles and increases to 16, while the number of indices which show a significantly positive mean return declines from 17 to 10. Especially for the Asian and Latin American stock market indices the results in US Dollars are worse than in local currency. For example, in the Latin American stock markets the Brazilian Bovespa shows a considerable positive mean yearly return of 13.85% if measured in Brazilian Reals, while it shows a negative mean yearly return of -2.48% if measured in US Dollars. In the Asian stock markets it is remarkable that the results for the Chinese Shanghai Composite, the Hong Kong Hang Seng and the Singapore Straits Times are not affected