Table 1: Descriptive Statistics

BRAZIL_RETURN CHINA_RETURN INDIA_RETURN RUSSIA_RETURN

Mean 0.010222 0.004426 0.01331 0.011394
Median 0.010293 0.007168 0.01261 0.022891
Maximum 0.156733 0.242528 0.248851 0.199343
Minimum -0.284971 -0.282783 -0.272992 -0.339314
Std. Dev. 0.066995 0.085166 0.068194 0.079354
Skewness -0.477473 -0.591743 -0.570628 -0.901568
Kurtosis 4.245872 4.43269 5.291381 5.410269
Jarque-Bera 16.73547 23.45325 44.50506 61.53724
Probability 0.000232 0.000008 0 0
Observations 163 163 163 163
Worked on Eviews and calculate the observation on 163

Return of Brazil 0.01% per month and median value return is 0.01% per month. The highest monthly
return increases by 0.15%.While fall is 0.28%. The Standard Deviation is 0.06% which is quite small
compare with stock returns and reflects the smoothness of stock prices over the time.

Table 2: Correlation Analysis

BRAZIL_RETUR CHINA_RETUR INDIA_RETUR RUSSIA_RETUR

N N N N
BRAZIL_RETURN 1
CHINA_RETURN 0.447334*** 1
INDIA_RETURN 0.60146*** 0.35567*** 1
RUSSIA_RETURN 0.59077*** 0.298729*** 0.555174*** 1
*** refers to significance at 1%.

Table 3: Unit Root Analysis

ADF t-Statistic ADF t-Statistic PP t-Statistic PP t-Statistic

At level At first difference At level At first difference
Brazil Return -10.5517*** -12.3461*** -10.64208*** -37.82736***
China return -11.1113*** -13.507*** -11.55153*** -45.78832***
India Return -11.3974*** -13.2355*** -11.4938*** -28.34815***
Russia Return -10.0658*** -14.8735*** -10.1926*** -43.18775***