Table 5.1 continued.
Data set N Yearly Mean Std.Dev. Skew. Kurt. t-ratio Sharpe Max.loss Q20 Adj Q20 Q20 r2 Thailand SET 2474 -0.0805 -0.000333 0.018359 0.475 7.116 -0.9 -0.037278 -0.8818 100.50a 53.14a 685.33a Taiwan TSE Composite 1805 -0.0342 -0.000138 0.01742 -0.053 5.279 -0.34 -0.018072 -0.6446 37.91a 27.84 304.13a Austria ATX 2625 0.0239 0.000094 0.010313 -0.468 8.71 0.47 -0.007528 -0.397 77.09a 39.04a 695.30a Belgium Bel20 2999 0.082 0.000313 0.009315 0.015 8.035 1.84c 0.011453 -0.3692 98.69a 47.72a 876.67a Czech Republic PX50 1711 -0.0045 -0.000018 0.012599 -0.143 5.115 -0.06 -0.029454 -0.5368 60.44a 39.38a 596.07a Denmark KFX 3020 0.0844 0.000322 0.010205 -0.292 5.76 1.73c 0.007603 -0.3636 60.41a 33.25b 893.77a Finland HEX General 2413 0.2032 0.000734 0.020716 -0.508 10.265 1.74c 0.027515 -0.6965 18.79 10.45 412.14a France CAC40 2846 0.0721 0.000276 0.012618 -0.116 5.448 1.17 0.005279 -0.4731 37.56b 26.55 400.48a Germany DAX30 2781 0.0967 0.000366 0.012964 -0.423 6.537 1.49 0.013836 -0.5304 35.81b 19.44 1370.48a Greece ASE General 1885 0.1433 0.000532 0.018091 -0.081 6.348 1.28 0.008178 -0.6687 58.10a 29.15c 422.98a Italy MIB30 1750 0.1028 0.000388 0.015235 -0.136 5.363 1.07 0.011711 -0.5257 51.56a 31.21c 950.01a Netherlands AEX 4042 0.0874 0.000332 0.012368 -0.576 13.646 1.71c 0.00959 -0.4673 86.86a 25.78 3851.18a Norway OSE All Share 1435 0.0241 0.000094 0.011935 -0.567 6.423 0.3 -0.01163 -0.4568 31.63b 17.86 596.97a Portugal PSI General 1760 0.1122 0.000422 0.0106 -0.566 9.745 1.67c 0.021932 -0.5067 83.43a 38.09a 401.71a Russia Moscow Times 1782 0.6278 0.001933 0.035371 -0.472 10.927 2.31b 0.024207 -0.8489 128.93a 41.12a 1372.96a Slovakia SAX16 2016 -0.0683 -0.000281 0.013817 -0.595 11.449 -0.91 -0.052416 -0.6899 19.51 16.63 37.78a Spain IGBM 2487 0.1308 0.000488 0.011977 -0.327 5.852 2.03b 0.020543 -0.4342 52.95a 29.59c 1202.23a Sweden OMX 2238 0.1033 0.00039 0.015015 0.038 6.124 1.23 0.012589 -0.6316 36.84b 24.02 696.72a Switzerland SMI 3391 0.1003 0.000379 0.011144 -0.648 11.227 1.98b 0.019659 -0.3925 33.10b 16.88 792.31a Turkey ISE100 3520 0.7513 0.002224 0.031633 -0.076 5.904 4.17a 0.070295 -0.6343 76.84a 41.78a 840.06a UK FTSE100 4042 0.0657 0.000252 0.010173 -0.981 16.334 1.58 -0.00539 -0.3602 57.71a 20.41 2023.87a Ireland ISEQ 3250 0.04 0.000156 0.009608 -0.858 12.772 0.92 -0.011046 -0.4349 87.61a 43.15a 381.79a Egypt CMA 1695 0.1734 0.000635 0.006712 1.228 12.71 3.89a 0.094564 -0.2362 314.92a 133.79a 160.04a Israel TA100 2996 0.1489 0.000551 0.013648 -0.52 9.43 2.21b 0.004681 -0.5321 81.44a 50.49a 287.13a
Table 5.2: Summary statistics local main stock market indices in US Dollars. The stock market indices are recomputed in US Dollars. The columns are as in table 5.1. For the Sharpe ratio in column 9, the interest rate on 1-month US certificates of deposits is used. Results for the US stock market indices can be found in table 5.1.
Data set N Yearly Mean Std.Dev. Skew. Kurt. t-ratio Sharpe Max.loss Q20 Adj Q20 Q20 r2 Argentina Merval 2065 -0.1962 -0.000867 0.027511 -0.859 20.5 -1.43 -0.038201 -0.913 99.35a 31.77b 421.98a Brazil Bovespa 1755 -0.0248 -0.0001 0.027338 0.053 9.628 -0.15 -0.010343 -0.7114 40.43a 21.32 718.38a Canada TSX Composite 4042 0.048 0.000186 0.009801 -1.183 18.119 1.21 -0.001455 -0.4638 81.35a 22.54 1425.46a Chile IPSA 1955 -0.0718 -0.000296 0.013714 0.09 9.553 -0.95 -0.035064 -0.6082 118.80a 53.96a 405.63a
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