Table 2.1: Summary statistics for daily returns. Results are presented for the full sample and for three subperiods. Returns are calculated as the log differences of the prices. The maximum loss is the largest consecutive decline in percentage terms during a certain period. The t-ratio tests whether the mean return is significantly different from zero.
Full Sample 83:1-87:12 88:1-92:12 93:1-97:6 CSCE N 3654 1254 1262 1136 Yearly effective return -0.078914 -0.016746 -0.21364 0.020661 Mean -0.000326 -0.000067 -0.000954 0.000081 Std. Dev. 0.016616 0.015787 0.018842 0.014773 t-ratio -1.186689 -0.150324 -1.798208 0.185154 Skewness 0.243951 -0.049036 0.341313 0.477601 Kurtosis 4.971493 3.39366 5.199822 5.495766 Maximum loss -0.8507 -0.4355 -0.7234 -0.3546 Period of maximum loss 05/23/84 - 02/20/97 05/23/84 - 12/08/87 01/22/88 - 06/24/92 07/18/94 - 02/20/97 LIFFE N 3673 1260 1264 1147 Yearly effective return -0.073934 -0.035598 -0.198199 0.030482 Mean -0.000305 -0.000144 -0.000877 0.000119 Std. Dev. 0.014056 0.013538 0.015521 0.012851 t-ratio -1.314172 -0.377152 -2.007875 0.314005 Skewness 0.08106 -0.249777 0.353273 0.040053 Kurtosis 5.797402 5.85137 5.564294 5.721865 Maximum loss -0.8919 -0.6115 -0.7513 -0.3749 Period of maximum loss 02/05/85 - 06/24/92 02/05/85 - 12/09/87 01/19/88 - 06/24/92 08/01/94 - 02/12/97 BPDo N 3780 1303 1304 1171 Yearly effective return -0.0019 -0.028517 0.042569 -0.020163 Mean -0.000008 -0.000115 0.000165 -0.000081 t-ratio -0.070642 -0.587341 0.832657 -0.537031 Std. Dev. 0.006567 0.007056 0.007174 0.00515 Skewness -0.021897 -0.448886 0.391937 -0.086657 Kurtosis 6.133925 6.487253 4.839026 6.362086 Maximum loss -0.4748 -0.4397 -0.244 -0.1714 Period of maximum loss 02/27/85 - 09/02/92 02/27/85 - 12/31/87 06/15/89 - 09/02/92 02/15/93 - 12/31/96
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