Table 1 Descriptive statistics
Sample period | Mean | Minimum | Maximum | S.D | Skewness | Kurtosis | Jaqua-Bera |
|---|---|---|---|---|---|---|---|
Sensex | |||||||
Full sample | 0.000553 | -0.136 | 0.159 | 0.017 | -0.042 | 5.893 | 7780.03 |
Jan 1991 – Dec 1993 | 0.001988 | -0.136 | 0.123 | 0.024 | -0.047 | 4.624 | 541.93 |
Jan 1994 - Dec 1996 | -0.000116 | -0.046 | 0.056 | 0.014 | 0.454 | 1.229 | 68.16 |
Jan 1997 – Dec 1999 | 0.000656 | -0.086 | 0.073 | 0.018 | -0.086 | 2.091 | 135.45 |
Jan 2000 – Dec 2002 | -0.000525 | -0.074 | 0.071 | 0.017 | -0.338 | 2.165 | 160.65 |
Jan 2003 – Dec 2005 | 0.001348 | -0.118 | 0.079 | 0.013 | -1.139 | 11.120 | 4075.26 |
Jan 2006 – Dec 2008 | 0.000035 | -0.116 | 0.079 | 0.021 | -0.344 | 2.584 | 222.00 |
Jan 2009 – Dec 2011 | 0.000635 | -0.075 | 0.159 | 0.016 | 1.291 | 14.567 | 6766.81 |
Jan 2012- Mar 2013 | 0.000699 | -0.027 | 0.026 | 0.009 | 0.077 | 0.580 | 5.014 |
Nifty | |||||||
Full sample | 0.00035 | -0.130 | 0.163 | 0.0162 | -0.122 | 6.428 | 8262.46 |
Jan 1994 - Dec 1996 | -0.0002 | -0.043 | 0.054 | 0.0139 | 0.498 | 1.456 | 92.78 |
Jan 1997 – Dec 1999 | 0.0006 | -0.088 | 0.099 | 0.0098 | 0.009 | 3.680 | 422.17 |
Jan 2000 – Dec 2002 | -0.0004 | -0.072 | 0.072 | 0.0160 | -0.244 | 2.652 | 227.11 |
Jan 2003 – Dec 2005 | 0.0012 | -0.130 | 0.079 | 0.0139 | -1.407 | 12.870 | 5488.81 |
Jan 2006 – Dec 2008 | 0.0001 | -0.130 | 0.067 | 0.0209 | -0.530 | 3.298 | 372.82 |
Jan 2009 – Dec 2011 | 0.0006 | -0.063 | 0.163 | 0.0156 | 1.403 | 15.912 | 8078.16 |
Jan 2012 – Mar 2013 | 0.0007 | -0.027 | 0.027 | 0.0091 | 0.079 | 0.643 | 6.09 |