Advances in Risk Management

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Table 17.1Summary statistics for the data

Panel A: summary statistics for French indices series

Large cap index return Small cap index return

Mean 0.0018 0.0010

Mean test 0.2613 [0.609]

Variance 0.0009 0.0006

Levene test 55.4551 [0.000]

Skewness −0.11225 [0.222] −0.96712 [0.000]

Kurtosis 2.75102 [0.000] 6.42473 [0.000]

Normality 226.016 [0.000] 1335.55 [0.000]

Q(20) 46.2156 [0.000] 91.9528 [0.000]

Q^2 (20) 287.913 [0.000] 140.8845 [0.000]

A(20) 281.982 [0.000] 171.7787 [0.000]

Panel B: summary statistics for German indices series

Large cap index return Small cap index return

Mean 0.0009 −0.0003

Mean test 0.0407 [0.967]

Variance 0.0012 0.0003

Levene test 34.8751 [0.000]

Skewness −0.6176 [0.000] −0.6286 [0.000]

Kurtosis 7.2543 [0.000] 2.1093 [0.000]

Normality 1608.72 [0.000] 179.138 [0.000]

Q(20) 43.3366 [0.002] 103.311 [0.000]

Q^2 (20) 135.494 [0.000] 60.2548 [0.000]

A(20) 297.652 [0.000] 85.3739 [0.000]

Panel C: summary statistics for British indices series

Large cap index return Small cap index return

Mean 0.0007 0.0008

Mean test 0.0787 [0.937]

Variance 0.0005 0.0003

Levene test 40.3885 [0.000]

Skewness 0.14599 [0.147] −0.93398 [0.000]

Kurtosis 3.61978 [0.000] 4.31934 [0.000]

Normality 325.854 [0.000] 547.1904 [0.000]

Continued