DESCRIPTIVE STATISTICS

Data is divided into 4 specified panels

EG. Panel A = MOEX
Panel B = MOEX.1
Panel C = MOEX.2
Panel D = MOEX.3
> print(Moex.Panel.corr <- rcorr(as.matrix(Moex.Panel.Data[,c(1:8)])))
MOEX SnP500 MOEX.1 SnP500.1 MOEX.2 SnP500.2 MOEX.3 SnP500.3
MOEX 1.00 0.00 -0.05 -0.02 -0.01 0.02 -0.02 -0.01
SnP500 0.00 1.00 0.02 -0.07 0.05 -0.04 0.00 -0.03
MOEX.1 -0.05 0.02 1.00 0.01 0.00 0.01 -0.04 0.01
SnP500.1 -0.02 -0.07 0.01 1.00 0.00 0.02 0.01 0.04
MOEX.2 -0.01 0.05 0.00 0.00 1.00 -0.04 -0.04 -0.02
SnP500.2 0.02 -0.04 0.01 0.02 -0.04 1.00 0.03 0.01
MOEX.3 -0.02 0.00 -0.04 0.01 -0.04 0.03 1.00 0.02
SnP500.3 -0.01 -0.03 0.01 0.04 -0.02 0.01 0.02 1.00
n= 1280

P
MOEX SnP500 MOEX.1 SnP500.1 MOEX.2 SnP500.2 MOEX.3 SnP500.3
MOEX 0.9746 0.1037 0.4893 0.7955 0.5632 0.5410 0.8354
SnP500 0.9746 0.5570 0.0160 0.1001 0.1149 0.9795 0.2636
MOEX.1 0.1037 0.5570 0.8117 0.9987 0.7608 0.1394 0.7284
SnP500.1 0.4893 0.0160 0.8117 0.8898 0.4212 0.7543 0.1683
MOEX.2 0.7955 0.1001 0.9987 0.8898 0.1622 0.1614 0.5097
SnP500.2 0.5632 0.1149 0.7608 0.4212 0.1622 0.2984 0.7926
MOEX.3 0.5410 0.9795 0.1394 0.7543 0.1614 0.2984 0.4662
SnP500.3 0.8354 0.2636 0.7284 0.1683 0.5097 0.7926 0.4662
> print(Ibovespa.Panel.corr <- rcorr(as.matrix(Ibovespa.Panel.Data[,c(1:8)])))
Ibovespa SnP500 Ibovespa.1 SnP500.1 Ibovespa.2 SnP500.2 Ibovespa.3 SnP500.3
Ibovespa 1.00 0.01 -0.03 -0.01 0.04 0.04 -0.05 0.02
SnP500 0.01 1.00 0.01 -0.07 0.03 -0.04 0.02 -0.03
Ibovespa.1 -0.03 0.01 1.00 0.01 0.01 0.02 -0.01 0.03
SnP500.1 -0.01 -0.07 0.01 1.00 0.01 0.02 0.06 0.04
Ibovespa.2 0.04 0.03 0.01 0.01 1.00 -0.04 0.02 0.01
SnP500.2 0.04 -0.04 0.02 0.02 -0.04 1.00 0.04 0.01
Ibovespa.3 -0.05 0.02 -0.01 0.06 0.02 0.04 1.00 0.00
SnP500.3 0.02 -0.03 0.03 0.04 0.01 0.01 0.00 1.00

n= 1280

P
Ibovespa SnP500 Ibovespa.1 SnP500.1 Ibovespa.2 SnP500.2 Ibovespa.3 SnP500.3
Ibovespa 0.6849 0.3026 0.7407 0.1448 0.1276 0.0752 0.4757
SnP500 0.6849 0.7793 0.0160 0.3045 0.1149 0.4934 0.2636
Ibovespa.1 0.3026 0.7793 0.7834 0.6678 0.5262 0.7962 0.3522
SnP500.1 0.7407 0.0160 0.7834 0.7485 0.4212 0.0475 0.1683
Ibovespa.2 0.1448 0.3045 0.6678 0.7485 0.1136 0.5822 0.6890
SnP500.2 0.1276 0.1149 0.5262 0.4212 0.1136 0.1371 0.7926
Ibovespa.3 0.0752 0.4934 0.7962 0.0475 0.5822 0.1371 0.9346
SnP500.3 0.4757 0.2636 0.3522 0.1683 0.6890 0.7926 0.9346
> print(ftse.panel.corr <- rcorr(as.matrix(Ftse.Panel.Data[,c(1:8)])))
FTSE.JSE SnP500 FTSE.JSE.1 SnP500.1 FTSE.JSE.2 SnP500.2 FTSE.JSE.3 SnP500.3
FTSE.JSE 1.00 -0.02 -0.01 -0.03 -0.01 -0.03 -0.01 -0.05
SnP500 -0.02 1.00 0.06 -0.07 0.02 -0.04 0.01 -0.03
FTSE.JSE.1 -0.01 0.06 1.00 -0.04 0.00 -0.04 0.00 0.00
SnP500.1 -0.03 -0.07 -0.04 1.00 0.02 0.02 0.01 0.04
FTSE.JSE.2 -0.01 0.02 0.00 0.02 1.00 -0.02 0.03 -0.05
SnP500.2 -0.03 -0.04 -0.04 0.02 -0.02 1.00 0.05 0.01
FTSE.JSE.3 -0.01 0.01 0.00 0.01 0.03 0.05 1.00 0.00
SnP500.3 -0.05 -0.03 0.00 0.04 -0.05 0.01 0.00 1.00

n= 1280

P
FTSE.JSE SnP500 FTSE.JSE.1 SnP500.1 FTSE.JSE.2 SnP500.2 FTSE.JSE.3 SnP500.3
FTSE.JSE 0.5354 0.7852 0.3533 0.6793 0.2727 0.7484 0.0610
SnP500 0.5354 0.0215 0.0160 0.5488 0.1149 0.6654 0.2636
FTSE.JSE.1 0.7852 0.0215 0.1577 0.9712 0.1397 0.8608 0.9640
SnP500.1 0.3533 0.0160 0.1577 0.4415 0.4212 0.6081 0.1683
FTSE.JSE.2 0.6793 0.5488 0.9712 0.4415 0.5512 0.2379 0.0817
SnP500.2 0.2727 0.1149 0.1397 0.4212 0.5512 0.0976 0.7926
FTSE.JSE.3 0.7484 0.6654 0.8608 0.6081 0.2379 0.0976 0.9197
SnP500.3 0.0610 0.2636 0.9640 0.1683 0.0817 0.7926 0.9197
> print(nse.panel.corr <- rcorr(as.matrix(NSE.Panel.Data[,c(1:8)])))
NSE.Fifty SnP500 NSE.Fifty.1 SnP500.1 NSE.Fifty.2 SnP500.2 NSE.Fifty.3 SnP500.3
NSE.Fifty 1.00 -0.01 0.01 -0.01 0.03 0.03 -0.02 0.01
SnP500 -0.01 1.00 0.06 -0.07 0.01 -0.04 -0.01 -0.03
NSE.Fifty.1 0.01 0.06 1.00 -0.01 -0.03 -0.04 -0.03 0.04
SnP500.1 -0.01 -0.07 -0.01 1.00 -0.05 0.02 0.00 0.04
NSE.Fifty.2 0.03 0.01 -0.03 -0.05 1.00 0.00 -0.03 0.00
SnP500.2 0.03 -0.04 -0.04 0.02 0.00 1.00 0.01 0.01
NSE.Fifty.3 -0.02 -0.01 -0.03 0.00 -0.03 0.01 1.00 -0.02
SnP500.3 0.01 -0.03 0.04 0.04 0.00 0.01 -0.02 1.00
n= 1280

P
NSE.Fifty SnP500 NSE.Fifty.1 SnP500.1 NSE.Fifty.2 SnP500.2 NSE.Fifty.3 SnP500.3
NSE.Fifty 0.7627 0.7074 0.8336 0.2338 0.3084 0.5038 0.7283
SnP500 0.7627 0.0220 0.0160 0.8147 0.1149 0.6210 0.2636
NSE.Fifty.1 0.7074 0.0220 0.6965 0.2922 0.1914 0.3388 0.2078
SnP500.1 0.8336 0.0160 0.6965 0.0567 0.4212 0.9061 0.1683
NSE.Fifty.2 0.2338 0.8147 0.2922 0.0567 0.8907 0.3567 0.9124
SnP500.2 0.3084 0.1149 0.1914 0.4212 0.8907 0.7210 0.7926
NSE.Fifty.3 0.5038 0.6210 0.3388 0.9061 0.3567 0.7210 0.5820
SnP500.3 0.7283 0.2636 0.2078 0.1683 0.9124 0.7926 0.5820
> print(szse.panel.corr <- rcorr(as.matrix(SZSE.Panel.Data[,c(1:8)])))
SZSE SnP500 SZSE.1 SnP500.1 SZSE.2 SnP500.2 SZSE.3 SnP500.3
SZSE 1.00 -0.02 0.00 -0.01 0.02 0.04 0.03 -0.03
SnP500 -0.02 1.00 -0.01 -0.07 -0.02 -0.04 0.01 -0.03
SZSE.1 0.00 -0.01 1.00 -0.06 0.00 0.00 -0.07 -0.02
SnP500.1 -0.01 -0.07 -0.06 1.00 -0.02 0.02 -0.01 0.04
SZSE.2 0.02 -0.02 0.00 -0.02 1.00 -0.01 -0.02 0.01
SnP500.2 0.04 -0.04 0.00 0.02 -0.01 1.00 0.01 0.01
SZSE.3 0.03 0.01 -0.07 -0.01 -0.02 0.01 1.00 0.00
SnP500.3 -0.03 -0.03 -0.02 0.04 0.01 0.01 0.00 1.00

n= 1280

P
SZSE SnP500 SZSE.1 SnP500.1 SZSE.2 SnP500.2 SZSE.3 SnP500.3
SZSE 0.5775 0.8628 0.8235 0.5658 0.1648 0.2219 0.3198
SnP500 0.5775 0.7046 0.0160 0.4266 0.1149 0.8195 0.2636
SZSE.1 0.8628 0.7046 0.0416 0.9844 0.9870 0.0082 0.5708
SnP500.1 0.8235 0.0160 0.0416 0.4598 0.4212 0.5994 0.1683
SZSE.2 0.5658 0.4266 0.9844 0.4598 0.8135 0.4875 0.8375
SnP500.2 0.1648 0.1149 0.9870 0.4212 0.8135 0.8186 0.7926
SZSE.3 0.2219 0.8195 0.0082 0.5994 0.4875 0.8186 0.9226
SnP500.3 0.3198 0.2636 0.5708 0.1683 0.8375 0.7926 0.9226

> print(var(Moex.Panel.Data[,c(1:8)]))
MOEX SnP500 MOEX.1 SnP500.1 MOEX.2 SnP500.2
MOEX 0.0003479744275 0.0000001356019 -0.00002210754768 -0.000006002188 -0.00000243678537
0.0000031045748
SnP500 0.0000001356019 0.0000665887417 0.00000349224454 -0.000009140583 0.00000675911018
-0.0000037025450
MOEX.1 -0.0000221075477 0.0000034922445 0.00067838551302 0.000002888162 -0.00000002147638
0.0000022831378
SnP500.1 -0.0000060021876 -0.0000091405828 0.00000288816230 0.000276721206 -0.00000116165365
0.0000038523336
MOEX.2 -0.0000024367854 0.0000067591102 -0.00000002147638 -0.000001161654 0.00032447619574
-0.0000072468594
SnP500.2 0.0000031045748 -0.0000037025450 0.00000228313785 0.000003852334 -0.00000724685938
0.0001059167942
MOEX.3 -0.0000114331871 0.0000002105143 -0.00003858712621 0.000005221252 -0.00002528546599
0.0000107292059
SnP500.3 -0.0000013518202 -0.0000031808717 0.00000315487524 0.000007991434 -0.00000414233474
0.0000009436703
 MOEX.3 SnP500.3
MOEX -0.0000114331871 -0.0000013518202
SnP500 0.0000002105143 -0.0000031808717
MOEX.1 -0.0000385871262 0.0000031548752
SnP500.1 0.0000052212522 0.0000079914338
MOEX.2 -0.0000252854660 -0.0000041423347
SnP500.2 0.0000107292059 0.0000009436703
MOEX.3 0.0012846593235 0.0000091088373
SnP500.3 0.0000091088373 0.0001554204202
> print(var(Ibovespa.Panel.Data[,c(1:8)]))
Ibovespa SnP500 Ibovespa.1 SnP500.1 Ibovespa.2 SnP500.2 Ibovespa.3
Ibovespa 0.000219528372 0.000001372551 -0.000008829989 -0.000002282319 0.000010906693 0.0000064977003
-0.0000199434303
SnP500 0.000001372551 0.000066588742 0.000001322141 -0.000009140583 0.000004230895 -0.0000037025450
0.0000042295291
Ibovespa.1 -0.000008829989 0.000001322141 0.000427136864 0.000002643544 0.000004479540 0.0000037713868
-0.0000040408906
SnP500.1 -0.000002282319 -0.000009140583 0.000002643544 0.000276721206 0.000002693486 0.0000038523336
0.0000249306317
Ibovespa.2 0.000010906693 0.000004230895 0.000004479540 0.000002693486 0.000325805581 -0.0000082185290
0.0000075163628
SnP500.2 0.000006497700 -0.000003702545 0.000003771387 0.000003852334 -0.000008218529 0.0001059167942
0.0000115751077
Ibovespa.3 -0.000019943430 0.000004229529 -0.000004040891 0.000024930632 0.000007516363 0.0000115751077
0.0007318941769
SnP500.3 0.000003685750 -0.000003180872 0.000006704872 0.000007991434 0.000002519660 0.0000009436703
0.0000007745373
SnP500.3
Ibovespa 0.0000036857499
SnP500 -0.0000031808717
Ibovespa.1 0.0000067048722
SnP500.1 0.0000079914338
Ibovespa.2 0.0000025196603
SnP500.2 0.0000009436703
Ibovespa.3 0.0000007745373
SnP500.3 0.0001554204202
> print(var(Ftse.Panel.Data[,c(1:8)]))
FTSE.JSE SnP500 FTSE.JSE.1 SnP500.1 FTSE.JSE.2 SnP500.2 FTSE.JSE.3
FTSE.JSE 0.000082702862 -0.000001286618 -0.0000010420092 -0.000003927862 -0.0000011578335
-0.0000028714951 -0.000001123230
SnP500 -0.000001286618 0.000066588742 0.0000078787014 -0.000009140583 0.0000015063760 -0.0000037025450
0.000001359101
FTSE.JSE.1 -0.000001042009 0.000007878701 0.0002258959754 -0.000009878459 0.0000001670279
-0.0000063889752 -0.000001015147
SnP500.1 -0.000003927862 -0.000009140583 -0.0000098784586 0.000276721206 0.0000039416850 0.0000038523336
0.000003285074
FTSE.JSE.2 -0.000001157834 0.000001506376 0.0000001670279 0.000003941685 0.0001211278198
-0.0000018883527 0.000005000470
SnP500.2 -0.000002871495 -0.000003702545 -0.0000063889752 0.000003852334 -0.0000018883527 0.0001059167942
0.000006561546
FTSE.JSE.3 -0.000001123230 0.000001359101 -0.0000010151473 0.000003285074 0.0000050004701
0.0000065615459 0.000189434611
SnP500.3 -0.000005937670 -0.000003180872 -0.0000002369053 0.000007991434 -0.0000066790890 0.0000009436703
0.000000483915
SnP500.3
FTSE.JSE -0.0000059376701
SnP500 -0.0000031808717
FTSE.JSE.1 -0.0000002369053
SnP500.1 0.0000079914338
FTSE.JSE.2 -0.0000066790890
SnP500.2 0.0000009436703
FTSE.JSE.3 0.0000004839150
SnP500.3 0.0001554204202
> print(var(NSE.Panel.Data[,c(1:8)]))
NSE.Fifty SnP500 NSE.Fifty.1 SnP500.1 NSE.Fifty.2 SnP500.2
NSE.Fifty 0.0001742643130 -0.0000009099785 0.000002942830 -0.0000012906446 0.0000064727111
0.0000038709343
SnP500 -0.0000009099785 0.0000665887417 0.000011088538 -0.0000091405828 0.0000007877944
-0.0000037025450
NSE.Fifty.1 0.0000029428305 0.0000110885382 0.000450566147 -0.0000038528910 -0.0000092078406
-0.0000079827718
SnP500.1 -0.0000012906446 -0.0000091405828 -0.000003852891 0.0002767212057 -0.0000130507738
0.0000038523336
NSE.Fifty.2 0.0000064727111 0.0000007877944 -0.000009207841 -0.0000130507738 0.0002167971582
0.0000005827629
SnP500.2 0.0000038709343 -0.0000037025450 -0.000007982772 0.0000038523336 0.0000005827629
0.0001059167942
NSE.Fifty.3 -0.0000044448716 -0.0000020320776 -0.000010226271 -0.0000009888207 -0.0000068346084
0.0000018516606
SnP500.3 0.0000015994228 -0.0000031808717 0.000009322209 0.0000079914338 0.0000005648011
0.0000009436703
NSE.Fifty.3 SnP500.3
NSE.Fifty -0.0000044448716 0.0000015994228
SnP500 -0.0000020320776 -0.0000031808717
NSE.Fifty.1 -0.0000102262708 0.0000093222085
SnP500.1 -0.0000009888207 0.0000079914338
NSE.Fifty.2 -0.0000068346084 0.0000005648011
SnP500.2 0.0000018516606 0.0000009436703
NSE.Fifty.3 0.0003241746392 -0.0000034565124
SnP500.3 -0.0000034565124 0.0001554204202
> print(var(SZSE.Panel.Data[,c(1:8)]))
SZSE SnP500 SZSE.1 SnP500.1 SZSE.2 SnP500.2 SZSE.3
SZSE 0.000321661325 -0.000002281047 -0.0000019324657 -0.000001861877 0.0000041538957 0.0000071708031
0.0000129867446
SnP500 -0.000002281047 0.000066588742 -0.0000019282983 -0.000009140583 -0.0000026163455 -0.0000037025450
0.0000011038167
SZSE.1 -0.000001932466 -0.000001928298 0.0004963601135 -0.000021114799 0.0000001755189 -0.0000001042819
-0.0000348730079
SnP500.1 -0.000001861877 -0.000009140583 -0.0000211147985 0.000276721206 -0.0000049598837 0.0000038523336
-0.0000051797645
SZSE.2 0.000004153896 -0.000002616346 0.0000001755189 -0.000004959884 0.0002078686442 -0.0000009793283
-0.0000059349402
SnP500.2 0.000007170803 -0.000003702545 -0.0000001042819 0.000003852334 -0.0000009793283 0.0001059167942
0.0000013998387
SZSE.3 0.000012986745 0.000001103817 -0.0000348730079 -0.000005179764 -0.0000059349402 0.0000013998387
0.0004491043274
SnP500.3 -0.000006222868 -0.000003180872 -0.0000044048697 0.000007991434 0.0000010312661 0.0000009436703
-0.0000007181209
SnP500.3
SZSE -0.0000062228676
SnP500 -0.0000031808717
SZSE.1 -0.0000044048697
SnP500.1 0.0000079914338
SZSE.2 0.0000010312661
SnP500.2 0.0000009436703
SZSE.3 -0.0000007181209
SnP500.3 0.0001554204202
>
> print(skewness(Moex.Panel.Data))
MOEX SnP500 MOEX.1 SnP500.1 MOEX.2 SnP500.2 MOEX.3 SnP500.3
-0.09625871 -0.26610222 -0.35565044 -0.25340319 -0.70344480 0.22796454 -0.30907512 -0.25320779
> print(skewness(Ibovespa.Panel.Data))
Ibovespa SnP500 Ibovespa.1 SnP500.1 Ibovespa.2 SnP500.2 Ibovespa.3 SnP500.3
0.15503022 -0.26610222 -0.05482243 -0.25340319 -0.28629080 0.22796454 0.59953139 -0.25320779
> print(skewness(Ftse.Panel.Data))
FTSE.JSE SnP500 FTSE.JSE.1 SnP500.1 FTSE.JSE.2 SnP500.2 FTSE.JSE.3 SnP500.3
-0.27545918 -0.26610222 -0.08486869 -0.25340319 -0.18417034 0.22796454 -1.03009781 -0.25320779
> print(skewness(NSE.Panel.Data))
NSE.Fifty SnP500 NSE.Fifty.1 SnP500.1 NSE.Fifty.2 SnP500.2 NSE.Fifty.3 SnP500.3
0.07016793 -0.26610222 -0.16079537 -0.25340319 0.88890249 0.22796454 -0.01381234 -0.25320779
> print(skewness(SZSE.Panel.Data))
SZSE SnP500 SZSE.1 SnP500.1 SZSE.2 SnP500.2 SZSE.3 SnP500.3
0.7305687 -0.2661022 0.4177684 -0.2534032 -0.6648865 0.2279645 0.2338732 -0.2532078
>
> print(kurtosis(Moex.Panel.Data))
MOEX SnP500 MOEX.1 SnP500.1 MOEX.2 SnP500.2 MOEX.3 SnP500.3
7.229802 1.947507 10.564126 6.754111 4.039625 2.785718 5.992826 2.886318
> print(kurtosis(Ibovespa.Panel.Data))
Ibovespa SnP500 Ibovespa.1 SnP500.1 Ibovespa.2 SnP500.2 Ibovespa.3 SnP500.3
0.6149579 1.9475075 5.9856525 6.7541110 1.1392545 2.7857180 14.3475678 2.8863176
> print(kurtosis(Ftse.Panel.Data))
FTSE.JSE SnP500 FTSE.JSE.1 SnP500.1 FTSE.JSE.2 SnP500.2 FTSE.JSE.3 SnP500.3
1.457549 1.947507 2.666322 6.754111 2.221731 2.785718 9.719064 2.886318
> print(kurtosis(NSE.Panel.Data))
NSE.Fifty SnP500 NSE.Fifty.1 SnP500.1 NSE.Fifty.2 SnP500.2 NSE.Fifty.3 SnP500.3
2.429120 1.947507 7.245022 6.754111 9.323039 2.785718 2.809696 2.886318
> print(kurtosis(SZSE.Panel.Data))
SZSE SnP500 SZSE.1 SnP500.1 SZSE.2 SnP500.2 SZSE.3 SnP500.3
3.590072 1.947507 1.729075 6.754111 4.964290 2.785718 4.582831 2.886318

# Calculating the Standard Deviations

> #S&P500
> print(sd(as.numeric(Moex.Panel.Data[,2])))
[1] 0.008160193
> print(sd(as.numeric(Moex.Panel.Data[,4])))
[1] 0.01663494
> print(sd(as.numeric(Moex.Panel.Data[,6])))
[1] 0.01029159
> print(sd(as.numeric(Moex.Panel.Data[,8])))
[1] 0.01246677
>
> #MOEX
> print(sd(as.numeric(Moex.Panel.Data[,1])))
[1] 0.01865407
> print(sd(as.numeric(Moex.Panel.Data[,3])))
[1] 0.02604583
> print(sd(as.numeric(Moex.Panel.Data[,5])))
[1] 0.01801322
> print(sd(as.numeric(Moex.Panel.Data[,7])))
[1] 0.03584214
> #Ibovespa
> print(sd(Ibovespa.Panel.Data[,1]))
[1] 0.01481649
> print(sd(Ibovespa.Panel.Data[,3]))
[1] 0.02066729
> print(sd(Ibovespa.Panel.Data[,5]))
[1] 0.01805009
> print(sd(Ibovespa.Panel.Data[,7]))
[1] 0.02705354
> #FTSE
> print(sd(Ftse.Panel.Data[,1]))
[1] 0.009094111
> print(sd(Ftse.Panel.Data[,3]))
[1] 0.01502984
> print(sd(Ftse.Panel.Data[,5]))
[1] 0.01100581
> print(sd(Ftse.Panel.Data[,7]))
[1] 0.01376352
> #Nifty50
> print(sd(NSE.Panel.Data[,1]))
[1] 0.01320092
> print(sd(NSE.Panel.Data[,3]))
[1] 0.02122654
> print(sd(NSE.Panel.Data[,5]))
[1] 0.01472403
> print(sd(NSE.Panel.Data[,7]))
[1] 0.01800485
> #Shenzhen
> print(sd(SZSE.Panel.Data[,1]))
[1] 0.01793492
> print(sd(SZSE.Panel.Data[,3]))
[1] 0.02227914
> print(sd(SZSE.Panel.Data[,5]))
[1] 0.01441765
> print(sd(SZSE.Panel.Data[,7]))
[1] 0.02119208