Volatility Similarity and Spillover Effects in G20 Stock Market Comovements: An ICA-Based ARMA-APARCH-M Approach

Table 1

Summary descriptive statistics of G20 stock returns.

Stock indices	Mean	S. D.	Skewness	Kurtosis	Jarque-Bera	ADF test:	ARCH LM test:
							F-statistic
US_S&P 500	0.0002	0.0120	−0.3770	14.9110	19246.8700	−44.9070	128.3470	123.5320
Japan_Nikkei 225	0.0001	0.0152	−0.5150	11.2390	9314.9420	−59.3620	127.2750	122.5390
Germany_DAX	0.0003	0.0137	−0.0420	9.2260	5238.1310	−57.4980	102.3060	99.2350
France_CAC 40	0.0000	0.0141	−0.0050	9.5690	5831.4690	−59.6110	129.2030	124.3240
UK_FTSE 100	0.0001	0.0117	−0.1440	11.1940	9084.7360	−43.2410	206.3210	194.0850
Italy_MIB	−0.0001	0.0152	−0.2310	8.2470	3748.7100	−58.4250	121.9480	117.5950
Canada_TSX	0.0001	0.0110	−0.7060	14.8520	19249.2100	−25.9650	426.8940	377.4150
Russia_RTS	0.0000	0.0215	−0.4130	14.6270	18359.0100	−51.3530	184.1580	174.3580
China_SSE Composite	0.0003	0.0168	−0.6120	7.3980	2815.7120	−57.0240	111.4290	107.7900
Argentina_MERVAL	0.0009	0.0197	−0.4830	7.0170	2306.2880	−54.7720	191.8890	181.2690
Australia_All Ordinaries	0.0000	0.0106	−0.5830	8.6680	4524.2370	−58.5830	340.7710	308.5220
Brazil_Bovespa	0.0000	0.0170	−0.0390	9.1410	5096.1870	−58.9570	103.6580	100.5060
India_BSE Sensex	0.0000	0.0141	0.1040	13.0620	13687.0800	−54.2680	61.4310	60.3250
Indonesia_Jakarta	0.0001	0.0132	−0.6660	11.5470	10109.4500	−52.3560	118.3860	114.2820
Mexico_IPC	0.0000	0.0123	0.1030	10.1870	6984.7720	−34.9620	65.1940	63.9470
Saudi Arabia_TASI	0.0000	0.0171	−0.9680	16.6220	25581.3500	−39.3160	197.4790	186.2460
South Africa_INVSAF 40	0.0000	0.0132	−0.1170	6.9040	2066.9090	−57.3320	157.3460	150.1490
Turkey_ISE 100	0.0000	0.0164	−0.2950	7.1410	2364.6120	−56.5210	40.7560	40.2750
South Korea_KOSPI	0.0000	0.0123	−0.5950	12.9000	13434.3900	−56.9490	167.4950	159.3580

Note: S. D. is the standard deviation of G20 stock return time series. The Jarque-Bera is the normality test statistic. The critical values of the ADF test are −3.432180 at 1% level, −2.862234 at 5% level, and −2.567183 at 10% level.