Table 1: Dataset summary.

Aggregate seriesMarketsIndexesStart dateSample size

ARGArgentinaMerVal Index10/08/963673
AUSAustraliaAll Ordinaries Index08/03/846844
AUTAustriaATX Index11/11/924645
BELBelgiumBEL-20 Index02/11/051506
BRABrazilBovespa Index04/27/934533
CANCanadaS&P TSX Composite Index01/03/002932
CHESwitzerlandSwiss Market Index11/09/905240
CHLChileIPSA Index01/10/031984
CHNChinaShanghai Composite Index01/04/002979
DEUGermanyDAX Index11/26/905245
DNKDenmarkOMX COPENHAGEN 20 Index01/03/002961
ESP1SpainMadrid General Index06/29/061311
ESP2SpainIBEX 35 Index02/15/934625
FRAFranceCAC 40 Index03/01/905433
GBRUKFTSE 100 Index04/02/846919
GOLWorld Gold Price Index12/29/788510
HGKHong KongHang Seng Index12/31/866122
IDNIndonesiaJakarta Composite Index07/01/973439
IND1IndiaBSE 30 Index07/01/973497
IND2IndiaS&P CNX NIFTY Index08/12/022262
ISRIsraelTA-100 Index07/01/972972
ITAItalyFTSE MIB Index06/02/032115
JPNJapanNikkei 225 Index01/04/846795
KORKoreaSeoul Composite Index07/01/973486
MEXMexicoIPC Index11/08/914945
MYSMalaysiaKLSE Composite Index12/03/934376
NLDThe NetherlandsAEX General Index10/12/924805
NORNorwayOSE All Share Index02/07/012650
NZLNew ZealandNZSE 50 Index04/30/041819
OIL1New York Crude Oil Price10/01/286560
OIL2North Sea Brent Crude Oil Price01/28/306155
RUSRussiaRTS Index09/01/953983
SGPSingaporeStraits Times Index12/28/875919
SWE1SwedenStockholm General Index01/08/012731
SWE2SwedenOMXS 30 Index07/06/041820
TURTurkeyISE 100 Index01/04/885887
TWNTaiwanTaiwan Weighted Index07/02/973480
USA1USADow Jones Industrial Average Index10/01/2820817
USA2USANASDAQ Composite Index02/05/7110229
USA3USAS&P 500 Index01/03/5015510
USA4USA13-WEEK TREASURY Bill01/04/6012901
USA5USACBOE Interest Rate 10-year T-Note01/02/6212405
USA6USATreasury Yield 30 Years02/15/778633
USA7USATreasury Yield 5 Years01/02/6212402

The aggregate series codes are used next to refer to the 37 individual major stock market indexes and seven other measures shown in the table. The sample includes occasional holidays and excludes all Saturdays and Sundays. The gold (GOL) series data is from The World Gold Council; the two crude oil prices (OIL1 and OIL2) are from the Federal Reserve Bank of St. Louis’ FRED Database. All other data are from the US and UK Yahoo! Finance websites.