The Impact of COVID-19 Crisis on Stock Markets’ Statistical Complexity
Table 3
Main statistics for the compound measure of complexity.
Max
Min
Mean
Standard deviation
Skewness
Kurtosis
Jarque–Bera statistic (chi-square distributed with two degrees of freedom)
Unit root test of Zivot and Andrews [33] with potential break occurred in both intercept and linear trend
BEL 20
0.909
0.905
0.907
0.001
−0.070
2.102
7.981 (-value = 0.018)
−6.435 {2020/03/16}
IBOVESPA
0.869
0.863
0.865
0.001
0.665
3.260
17.747
−4.235 {2020/03/27}
CAC 40
0.715
0.701
0.707
0.003
0.319
2.421
7.183 (-value = 0.028)
−3.885 {2019/11/07}
FTSE 100
0.913
0.908
0.910
0.002
−0.077
1.779
14.648
−6.395 {2019/12/17}
DAX PERFORMANCE-INDEX
0.914
0.908
0.911
0.002
0.193
1.878
13.600 (-value = 0.001)
−6.148 {2019/10/15}
S&P 500
0.709
0.690
0.701
0.006
−0.274
1.610
21.576
−4.870 {2019/11/13}
S&P/TSX composite index
0.902
0.887
0.895
0.004
−0.206
2.311
6.233 (-value = 0.044)
−4.541 {2019/11/07}
HANG SENG INDEX
0.873
0.862
0.868
0.003
0.040
2.319
4.547 (-value = 0.103)
−2.501 {2020/03/04}
MERVAL
0.865
0.857
0.861
0.002
−0.230
2.453
4.932 (-value = 0.085)
−2.509 {2020/06/08}
NIKKEI 225
0.866
0.860
0.863
0.002
−0.051
1.644
17.870
−4.000 {2019/08/16}
Notes: The Zivot and Andrews [33] test is implemented in R package “urca” [34]. Potential breakpoint is mentioned in {}. Critical values of the test are: 0.01 = −5.57; 0.05 = −5.08; and 0.1 = −4.82.
