The Impact of COVID-19 Crisis on Stock Markets’ Statistical Complexity

Table 4

Pairwise comparisons between group levels with corrections for multiple testing.

Market/adjustment method	Hommel [35]			Benjamini and Hochberg [36]			Benjamini and Yekutieli [37]
	I & II	I & III	II & III	I & II	I & III	II & III	I & II	I & III	II & III
BEL 20	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
IBOVESPA	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
CAC 40	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
FTSE 100	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
DAX PERFORMANCE-INDEX	0.000	0.084	0.000	0.000	0.084	0.000	0.000	0.155	0.000
S&P 500	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
S&P/TSX composite index	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
HANG SENG INDEX	0.000	0.000	0.471	0.000	0.000	0.471	0.000	0.000	0.864
MERVAL	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
NIKKEI 225	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000

Notes: Table reports p-values for the pairwise comparisons using t-tests with pooled standard deviations. The first subsample covers the period between 2019/06/25 and 2019/12/30. The second subsample starts on 2020/01/06 and ends on 2020/03/30, while the third subsample is between 2020/04/01 and 2020/08/18. Various adjustment methods are implemented in the R language [38].