Time-Varying Risk Attitude and Conditional Skewness

Table 1

Basic statistics of the daily return series of indices.

	Mean	Std. dev.	Skewness	Jarque-Bera	ADF test	ARCH-LM test
S&P 500	−0.006210	1.400254	−0.114384	6587.713	−38.3026	153.6778
Dow Jones	−0.000915	1.317075	0.047682	6299.268	−37.8115	150.5500
NASDAQ	−0.000440	1.747697	0.175155	2298.068	−37.5163	100.7235
NYSE	0.002528	1.397271	−0.283905	9121.484	−37.44753	190.2067
Nikkei225	−0.011831	1.660565	−0.292542	3821.667	−48.86196	325.9931
FTSE 100	−0.005793	1.357928	−0.106906	3927.123	−21.9967	153.3013
SSE	0.019730	1.714406	−0.105263	1629.944	−27.6192	5.505159
DAX	−0.002373	1.692539	0.070301	1798.858	−49.73979	119.7851
CAC 40	−0.016852	1.587710	0.052661	2746.579	−23.62872	111.7417
GSPTSE	0.012879	1.250443	−0.679786	9174.220	−51.28554	161.5086
MIBTEL	−0.030404	1.316993	−0.158677	4999.875	−20.68796	123.2172
IGBM	0.020879	1.364191	−0.061860	4384.783	−46.61378	123.3914
BVSP	0.067122	2.025965	−0.093354	1355.060	−46.66775	131.7443
Hangseng	0.017219	1.676433	0.037793	7002.364	−48.77268	223.4757

Note: the J-B statistic, the ADF test, and the ARCH-LM test are all at 1% significance level.