Research on the Time-Frequency Spillover Effect of High-Frequency Stock Price and Economic Policy Uncertainty

Table 1

Descriptive statistics and unit root test of EPU index of various countries.

	China	HK	US	UK	Australia
Mean	4.570477	4.742472	4.814606	4.707553	4.51604
Median	4.583349	4.776579	4.763996	4.779984	4.505456
Maximum	6.495006	6.052941	6.222504	6.32476	5.820213
Minimum	2.313657	3.135981	3.801823	3.17955	3.24501
Std. dev.	0.735862	0.556914	0.431434	0.538723	0.548169
Skewness	0.268719	−0.271778	0.381081	−0.16292	0.023068
Kurtosis	2.885763	2.750439	3.245789	2.822462	2.570653
Jarque–Bera	3.194999	3.786023	6.787128	1.457285	1.973446
ADF	−3.995189	−3.995492	−3.994744	−6.143366	−4.937559

Note: indicates significance at 5% level and indicates significance at 1% level.