Investors’ Risk Preference Characteristics and Conditional Skewness

Table 1

Descriptive statistics of returns.

Statistic/index	Mean	Std. dev.	Skewness	Kurtosis	JB statistic	ADF test
NYSE	0.011092	1.417882	−0.319853	11.71722	8072.841	−54.66
NASDAQ	0.020059	1.540381	−0.073165	7.778844	2405.885	−54.16
N225	−0.005840	1.574768	−0.519431	10.91186	6553.403	−51.26
FTSE	0.003464	1.331208	−0.118303	9.447372	4410.472	−24.43
HSI	0.025817	1.624365	0.055671	11.81611	7984.151	−50.69
SSE	0.014062	1.702013	−0.181743	6.516299	1263.707	−48.98
TSX	0.018383	1.227107	−0.627351	12.55346	9504.789	−51.87
DAX	0.010606	1.641213	0.065995	7.537473	2206.568	−51.76
AORD	0.009815	1.069175	−0.532882	8.904713	3831.159	−51.75
BSE	0.062190	1.645750	−0.066960	10.60485	6011.757	−46.49