Advances in Risk Management

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Table 17.2 Returns, volatilities and correlations

Panel A: returns, volatilities and correlations of French indices series

Year Annualized Returns (%) Annualized Volatilities (%) Correlation(3)

CAC MID Mean CAC MID Levene(2)

40 CAC Test(1) 40 CAC Test

1991 15.87 −0.54 0.72 17.49 14.47 4.18∗ 0.78
1992 4.42 −5.78 0.40 19.31 11.78 8.46∗ −0.06
1993 27.45 32.38 0.52 17.04 10.47 16.24∗ −0.04
1994 −12.55 −3.20 0.38 19.91 11.84 17.70∗ −0.06
1995 0.61 −17.12 1.07 14.12 8.66 10.97∗ 0.55
1996 22.96 33.50 0.58 14.04 11.30 4.47∗ 0.53
1997 29.06 18.64 0.44 19.00 14.25 4.20∗ 0.70
1998 29.31 5.58 0.74 25.08 19.95 3.47 0.69
1999 42.45 30.26 0.18 17.91 11.03 10.77∗ −0.06
2000 −1.71 21.88 0.30 22.13 31.79 0.75 −0.16
2001 −26.71 −22.41 0.18 25.18 23.03 4.97∗ 0.29
2002 −36.84 −26.72 0.32 37.48 29.69 8.57∗ 0.43
2003 8.43 −13.41 0.78 27.04 12.14 12.13∗ 0.31
2004 (4) 6.56 32.32 1.36 13.24 7.69 6.45∗ 0.06

Panel B: returns, volatilities and correlations of German indices series

Year Annualized Returns (%) Annualized Volatilities (%) Correlation(3)

DAX SDAX Mean DAX SDAX Levene(2)

Test(1) Test

1991 8.73 −1.76 1.08 16.42 11.00 6.50∗ 0.72
1992 0.34 −10.25 0.56 16.19 10.18 5.03∗ 0.7
1993 33.78 33.84 6.00 13.48 10.68 3.18 −0.06
1994 −4.89 −5.82 0.04 18.51 8.60 20.96∗ 0.62
1995 7.61 −11.35 1.18 14.28 7.29 13.92∗ 0.53
1996 22.34 8.45 0.41 3.25 8.28 3.05 0.08
1997 39.35 18.28 0.89 20.10 13.07 4.75∗ 0.71
1998 16.30 −1.85 0.62 24.95 15.45 12.00∗ 0.71
1999 31.57 6.93 0.86 25.95 12.08 19.36∗ 0.63
2000 −8.06 4.98 0.47 24.26 12.97 16.40∗ 0.67
2001 −21.24 −25.48 0.13 30.46 14.19 22.65∗ 0.63
2002 −0.53 −35.45 0.44 36.94 16.05 20.48∗ 0.77
2003 15.97 40.96 0.74 33.82 13.06 17.70∗ 0.18
2004 (4) −13.48 9.09 0.82 17.83 13.95 1.82 0.08

Continued