Discrete Dynamics in Nature and Society

Research Article

Measuring Contagion of Subprime Crisis Based on MVMQ-CAViaR Method

Table 1

Summary statistics of log daily index returns. This table provides summary statistics of log daily index returns for six markets, including the US (S&P 500 index), China (CSI 300 index), Japan (Nikkei 225 index), UK (FTSE-100 index), France (CAC-40 index), and Germany (DAX index) from June 1, 2006, to July 25, 2013. The Kendall tau correlation coefficient () and Pearson correlation coefficient () between the US and tested countries are also reported.


	US	China	Japan	UK	France	Germany

Mean	0.01	0.0345	0.01	0.0129		0.0288
Median	0.0808	0.1176	0.048	0.0469	0.0297	0.1026
Min	−9.4695	−9.6952	−12.111	−9.2656	−9.4715	−7.335
Max	10.9572	8.9309	13.2346	9.3843	10.5946	10.7975
Stdev	1.3736	1.8993	1.6547	1.2979	1.5349	1.4629
Skewness	−0.1751	−0.3594	−0.581	−0.098	0.1327	0.1375
Kurtosis	9.5992	2.7969	8.3085	7.6485	6.1511	6.3971
KS ( value)	0	0	0	0	0	0
		0.0873	0.3317	0.1206	0.1086	0.1125
		0.1476	0.5223	0.2542	0.2354	0.2013

Note: the overall sample period is from 1/2006 to 7/2013. Standard errors are in parentheses.