Table 5.1: Summary statistics local main stock market indices in local currency. The first column shows the names of the indices examined. Columns 2 to 7 show the number of observations, the mean yearly effective return in %/100 terms, the mean, standard deviation, skewness and kurtosis of the daily logarithmic return. Column 8 shows the t-ratio testing whether the mean daily return is significantly different from zero. Column 9 shows the Sharpe ratio. Column 10 shows the largest cumulative loss in %/100 terms. Column 11 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. Column 12 shows the heteroskedasticity adjusted Box-Pierce (1970) Q-statistic, as derived by Diebold (1986). The final column shows the Ljung-Box (1978) Q-statistic for testing autocorrelations in the squared returns. Significance level of the (adjusted) Q(20)-test statistic can be evaluated based on the following chi-squared values: a) chi-squared(0.99,20)=37.57, b) chi-squared(0.95,20)=31.41, c) chi-squared(0.90,20)=28.41.

Data set N Yearly Mean Std.Dev. Skew. Kurt. t-ratio Sharpe Max.loss Q20 Adj Q20 Q20 r2
World MSCI 5346 0.0838 0.000319 0.007529 -0.844 19.639 3.10a 0.011198 -0.3872 289.84a 50.74a 2189.95a
Argentina Merval 2065 -0.0525 -0.000214 0.02492 0.002 7.814 -0.39 -0.024918 -0.7682 81.22a 37.89a 634.96a
Brazil Bovespa 1755 0.1385 0.000515 0.024989 0.519 18.044 0.86 -0.012837 -0.6504 52.54a 24.91 283.11a
Canada TSX Composite 4042 0.0542 0.000209 0.008915 -1.304 22.217 1.49 -0.004028 -0.4281 83.26a 20.6 1330.14a
Chile IPSA 1955 -0.0048 -0.000019 0.012366 0.272 10.652 -0.07 -0.004304 -0.5512 108.58a 41.66a 534.99a
Mexico IPC 1413 0.1058 0.000399 0.018576 0.003 9.272 0.81 -0.015889 -0.4681 34.17b 20.82 225.62a
Peru Lima General 2610 0.2404 0.000855 0.014208 0.372 8.661 3.07a 0.031386 -0.5015 353.19a 125.83a 983.56a
US S&P500 5346 0.1035 0.000391 0.010341 -2.229 52.477 2.76a 0.015047 -0.3677 34.84b 11.77 353.99a
US DJIA 5346 0.1175 0.000441 0.010593 -2.872 72.566 3.04a 0.019429 -0.3613 36.13b 10.49 264.85a
US Nasdaq100 4825 0.114 0.000428 0.017764 -0.112 11.043 1.68c 0.011826 -0.7826 55.27a 22.1 2940.35a
US NYSE Composite 5346 0.0996 0.000377 0.009362 -2.543 61.538 2.94a 0.015129 -0.3302 41.47a 11.61 365.68a
US Russel2000 3520 0.0853 0.000325 0.009567 -0.5 8.374 2.02b 0.013897 -0.3725 134.56a 56.12a 2980.48a
US Wilshire5000 4565 0.0993 0.000376 0.009687 -1.817 31.044 2.62a 0.0172 -0.3966 61.30a 26.46 580.38a
Venezuela Industrial 1956 0.238 0.000847 0.0253 0.721 26.063 1.48 0.014105 -0.7945 52.71a 36.70b 370.72a
Australia ASX All Ordinaries 3987 0.0424 0.000165 0.009974 -6.715 182.588 1.04 -0.014138 -0.5009 161.89a 28.03 118.71a
China Shanghai Composite 1953 0.1372 0.00051 0.019896 0.894 27.342 1.13 0.025638 -0.4245 34.67b 21.42 304.15a
Hong Kong Hang Seng 4042 0.0924 0.000351 0.01826 -3.446 77.531 1.22 0.007494 -0.6005 62.73a 19.53 75.87a
India BSE30 2478 0.0222 0.000087 0.016375 -0.064 5.6 0.26 -0.012132 -0.5618 41.68a 28.88c 259.83a
Indonesia Jakarta Composite 3260 0.0184 0.000072 0.015387 0.472 14.164 0.27 -0.036795 -0.6726 248.18a 86.34a 1030.01a
Japan Nikkei225 4042 -0.035 -0.000142 0.014357 -0.084 11.004 -0.63 -0.017261 -0.7579 53.49a 30.95c 479.80a
Malaysia KLSE Composite 4316 0.0665 0.000256 0.01681 -0.228 35.098 1 0.002812 -0.8001 98.53a 17.96 2152.29a
New Zealand NZSE30 2739 0.0137 0.000054 0.009982 -0.879 22.581 0.28 -0.020997 -0.3731 27.01 20.81 374.84a
Pakistan Karachi100 2444 0.0409 0.000159 0.017111 -0.275 10.18 0.46 -0.014939 -0.7123 59.61a 27.41 726.48a
Philippines PSE Composite 3781 0.0237 0.000093 0.016238 0.45 11.136 0.35 -0.026353 -0.7159 206.55a 110.44a 259.51a
Singapore Straits Times 3979 0.0333 0.00013 0.014729 -2.045 55.318 0.56 -0.000133 -0.6278 149.90a 25.42 756.63a
South-Korea Kospi200 2239 0.0071 0.000028 0.02288 0.144 6.939 0.06 -0.016157 -0.7521 38.11a 20.99 670.90a
Sri Lanka CSE All Share 1756 0.013 0.000051 0.009578 4.142 82.322 0.22 -0.057186 -0.5591 243.99a 42.02a 46.77a
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