Economic Policy Uncertainty and Conditional Dependence between China and U.S. Stock Markets

Table 2

Descriptive statistics of daily SSEC and S&P 500 index returns as well as monthly GEPU, AEPU, and CEPU indices.

	SSEC	S&P 500	GEPU	AEPU	CEPU
Mean	0.0003	0.0003	145.2330	127.0769	150.5792
Min.	−0.1276	−0.1378	48.8196	57.2026	23.7000
Max.	−0.1378	0.1096	429.5147	350.4598	661.8000
Std.	0.0164	0.0129	72.9342	49.5498	114.4801
Skewness	−0.6053	−0.7226	1.2406	1.3154	1.9207
Kurtosis	8.3226	19.0593	4.4544	5.5353	6.9297
JB	4681.6772	40851.1529	66.1778	106.7857	241.5982

Note. Std. denotes the standard deviation, and JB denotes the Jarque–Bera statistics.