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A Non-Random Walk Revisited: Short- and Long-Term Memory in Asset Prices
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A Non-Random Walk Revisited: Short- and Long-Term Memory in Asset Prices

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  • 1. Board of Governors of the Federal Reserve System International Finance Discussion Papers Number 956 November 2008 A Non-Random Walk Revisited: Short- and Long-Term Memory in Asset Prices by Paul S. Eitelman Justin T. Vitanza NOTE: International Finance Discussion Papers are preliminary materials circulated to stimulate discussion and critical comment. References in publications to International Finance Discussion Papers (other than an acknowledgment that the writer has had access to unpublished material) should be cleared with the author or authors. Recent IFDPs are available on the Web at www.federalreserve.gov/pubs/ifdp/. This paper can be downloaded without charge from the Social Science Research Network electronic library at http://www.ssrn.com/
  • 2. A Non-Random Walk Revisited: Short- and Long-Term Memory in Asset Prices* Paul S. Eitelman Justin T. Vitanza* Abstract In this paper, we test for short and long memory in asset prices across 44 emerging and industrialized economies. Using methodology from Lo and MacKinlay (1988) and Lo (1991), we find that markets with a poor Sharpe ratio are more likely to reject the random walk than better performing markets. We also make a methodological contribution. Contrary to the Baillie (1996) criticism, our long memory analysis suggests that the choice of a truncation lag is not as important as one might initially believe. Tests that reject the null hypothesis tend to do so across any reasonable choice in lag. Keywords: random walk, long-range dependence, equities, commodities, exchange rates JEL Codes: E30, G14 * Author notes: We appreciate the comments of Shaghil Ahmed, Brett Berger, Dale Henderson, Erik Hjalmarsson, Andrea Raffo, and Robert Vigfusson. Eitelman and Vitanza are research assistants in the Division of International Finance at the Federal Reserve Board. Corresponding Author: Paul Eitelman, Mail Stop 24, Federal Reserve Board, Washington, DC 20551 USA. Email: paul.s.eitelman@frb.gov. The views expressed in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System or of any other person associated with the Federal Reserve System.
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  • 50. 9BMKL= J=LMJFK 9J= 9DKG 9F AFA;9LGJ G HJ=A;L9:ADALQ quot;GJ =P9EHD= :Q GJ=JAF? E9JC=LK 9;;GJAF? LG L@=AJ .@9JH= J9LAGK O= FGLA;= L@9L L@= K=N=F O=9C=KL =IMALQ E9JC=LK AF GMJ K9EHD= R=;@ -=HM:DA; ,@ADAHHAF=K 9H9F /@9AD9F %L9DQ 9F J?=FLAF9 9DD J=B=;L L@= J9FGE O9DC /@AK J=KMDL AK KMHHGJL= :Q =;GFGEA; AFLMALAGF (GO JAKC
  • 51. 9BMKL= J=LMJFK K@GMD =;J=9K= L@= =E9F GJ 9F9DQKL ;GN=J9?= O@A;@ OGMD J=KMDL AF O=9C=J AFGJE9LAGF9D =Y;A=F;Q /@= 9EH:=DD (G 9F )9;'AFD9Q SFAF?K 9J= :9K= GF 0 . N9DM=
  • 52. O=A?@L= AF=P 9L9 JGE L@= =FL=J GJ -=K=9J;@ AF .=;MJALQ ,JA;=K -., 9L= MDQ LG =;=E:=J /@= ;GFN=FLAGF9D GJE G L@= .@9JH= J9LAG AK O@=J= AK L@= JAKC
  • 53. J== J9L= =;9MK= G L@= K;9J;ALQ 9F AF;GFKAKL=F;Q G 9L9 GF AFL=JF9LAGF9D JAKC
  • 54. J== AFL=J=KL J9L=K 9F ?AN=F GMJ MK= G DG;9D ;MJJ=F;Q
  • 55. =FGEAF9L= =IMALQ AFA;=K O= A?FGJ= L@AK L=JE /@MK L@= .@9JH= -9LAG 9K =SF= AF L@AK H9H=J AK KAEHDQ
  • 56. %F quot;A?MJ= O= K@GO 9 K;9LL=JHDGL G L@= .@9JH= J9LAG 9?9AFKL L@= E9PAEME N9DM= GN=J 9DD D9?K G L@= 9:KGDML= N9DM= G $ /@= O9K ;9D;MD9L= MKAF? L@= J=LMJF 9F KL9F9J =NA9LAGF G J=LMJFK GN=J 9DD 9N9AD9:D= 9L9 .O==F O9K AEE=A9L=DQ AKJ=?9J= 9K 9F GMLDA=J 10 8 6 Zmax 4 2 0 0 .1 .2 .3 Sharpe Ratio non-oil oi l quot;A?MJ= 2= AEE=A9L=DQ FGLA;= L@9L =F=J?Q ;GEEGALA=K 9F +,!
  • 57. E=E:=J =IMALQ E9JC=LK L=F= LG =NA9L= JGE L@= E9BGJALQ G L@= 9L9 -=EGNAF? L@=K= HGAFLK E9?FAS=K L@= J=D9LAGFK@AH :=LO==F JAKC
  • 58. 9BMKL= H=JGJE9F;= 9F GJ=;9KL9:ADALQ 9K K@GOF AF quot;A?MJ=
  • 59. 6 4 Zmax 2 0 0 .05 .1 .15 .2 Sharpe Ratio quot;A?MJ= /9:D= K@GOK L@= ;GJJ=D9LAGF :=LO==F L@=K= K=JA=K 9DGF? OAL@ L@= ;G=Y;A=FLK 9F L
  • 60. KL9LAKLA;K G 9 J=?J=KKAGF G 9 MEEQ N9JA9:D= O@A;@ AFA;9L=K O@=L@=J GJ FGL L@9L E9JC=L ;9F J=B=;L L@= J9FGE O9DC OAL@ ;GFS=F;= 9L KGE= D9? A = $ GF L@= /@GM?@ GFDQ L@= +(. =KLAE9L=K 9J= J=HGJL= L@= J=KMDLK 9J= JG:MKL LG K=N=J9D EGAS;9LAGFK AF;DMAF? JG:MKL KL9F9J =JJGJK 9F AL=J9LAN=DQ J=O=A?@L= D=9KL KIM9J=K OAL@ $M:=J 9F :AO=A?@L MF;LAGFK LMF= LG =Y;A=F;Q /9:D= //quot;0/ +..quot;(0+* L
  • 61. KL9L $ *GF
  • 62. +AD
  • 63. /@AK HJ=DAEAF9JQ =NA=F;= KMHHGJLK GMJ @QHGL@=KAK L@9L L@=J= =PAKLK 9 HGKALAN= J=D9LAGFK@AH :=
  • 64. LO==F JAKC
  • 65. 9BMKL= E9JC=L H=JGJE9F;= 9F =Y;A=F;Q quot;MJL@=J J=K=9J;@ AF L@AK 9J=9 OGMD DAC=DQ HJGN= J=O9JAF? +3quot;. %F L@AK K=;LAGF O= =L9AD L@= J=D9LAN= HGO=J G L@= (G 9F )9;'AFD9Q @=L=JGK;=9KLA;ALQ
  • 66. ;GFKAKL=FL J9FGE O9DC L=KL ;GEH9J= LG L@= EGJ= J=KLJA;LAN= J9FGE O9DC MF=J @GEGK;=9KLA;
  • 67. AF;J=E=FLK +F= K@GMD =PH=;L L@9L GJ J9FGE 9KK=L HJA;= AFFGN9LAGFK :GL@ L@= @GEGK;=9KLA; 9F @=L=JGK;=9KLA; E=L@GGDG?A=K OADD 9AD LG J=B=;L L@= FMDD @QHGL@=KAK G 9 J9FGE O9DC 9F HJGM;= N=JQ KAEAD9J J=KMDLK +MJ KAEMD9LAGF J=KMDLK ;GFSJE L@AK K 9F =P9EHD= O= AF;DM= L@= SJKL K9EHD= G L@= KAEMD9LAGF AF quot;A?MJ= quot;A?MJ= %%
  • 68. *GJE9D ,JG;=KK %L AK D=KK G:NAGMK @GO L@= J9FGE O9DC L=KLK OADD :=@9N= AF L@= HJ=K=F;= G LAE=
  • 69. N9JQAF? NGD9LADALQ 0F=J #-$ HJG;=KK=K L@= @=L=JGK;=9KLA;ALQ
  • 70. ;GFKAKL=FL J9FGE O9DC L=KL =EHDGQ= AF L@AK H9H=J AK K@GOF LG := JG:MKL LG LAE=
  • 71. N9JQAF? NGD9LADALQ 9F 9HHJGHJA9L=DQ 9ADK LG J=B=;L L@= J9FGE O9DC O@=J=9K L@= @GEGK;=9KLA; 9DL=JF9LAN= AK :A9K= LGO9JK J=B=;LAGF quot;A?MJ= K@GOK L@= SJKL K9EHD= AF GMJ KAEMD9LAGF 9F L@= J=B=;LAGF :A9K G L@= @GEGK;=9KLA; L=KL
  • 72. quot;A?MJ= #-$ ,JG;=KK #-$ HJG;=KK=K GJ )GJ= GJE9DDQ O= MK= )GFL= 9JDG KAEMD9LAGFK LG ?=F=J9L= G L@= KAR= 9F L@=F 9HHDQ L@= @GEGK;=9KLA; 9F @=L=JGK;=9KLA; J9FGE O9DC L=KLK LG L@= 9L9 /@= J=KMDLK GJ K=N=J9D 9J:ALJ9JQ D9?K 9J= HJ=K=FL= AF /9:D= Table 2.3.1: Percent of GARCH(1,1) Processes Rejected Confidence Methodology q Level ( ) 2 4 8 16 32 64 Homoscedastic 12.41 12.35 11.57 11.08 9.85 8.12 = 95% Heteroscedastic 5.04 5.28 5.30 4.71 4.88 4.88 Homoscedastic 4.39 4.63 4.42 4.12 3.38 3.53 = 99% Heteroscedastic 0.83 1.07 1.35 1.41 1.58 2.03 /@= 9:GN= L9:D= ;D=9JDQ K@GOK L@9L L@= @GEGK;=9KLA; L=KL AK :A9K= LGO9JK J=B=;LAGF AF L@= HJ=K
  • 73. =F;= G LAE=
  • 74. N9JQAF? NGD9LADALQ /@AK =NA=F;= KMHHGJLK GMJ MK= G L@= @=L=JGK;=9KLA;ALQ
  • 75. ;GFKAKL=FL L=KL :=;9MK= AL AK L@= GJ=;9KL9:ADALQ G HJA;= ;@9F?=K L@9L AK G HJAE9JQ AFL=J=KL AF J9FGE O9DC 9F9DQKAK #-$ HJG;=KK=K 9J= OJALL=F G L@= GJE #-$ O@=J= AK L@= FME:=J G D9?K G L@= ;GFALAGF9D N9JA9F;= 9F AK L@= FME:=J G D9?K G L@= KIM9J= AFFGN9LAGFK quot;GJ KAEHDA;ALQ O= 9KKME= L@= ;GEEGF #-$ HJG;=KK 9F L@=F =KLAE9L= L@= #-$ ;G=Y;A=FLK JGE GMJ O==CDQ . , 9L9
  • 76. +*$ quot;)+.5 =;9MK= 9 F=O LQH= G L=KL AK F=== GJ DGF? E=EGJQ 9F9DQKAK O= KMJN=Q= L@= DAL=J9LMJ= GJ 9DL=JF9LAN=K DL@GM?@ HGO=JMD GJ L@=GJ=LA;9D EG=DAF? 9F NGD9LADALQ 9F9DQKAK KLMA=K :9K= MHGF L@= 9:KGDML= N9DM= G J=LMJFK A = AF? #J9F?=J 9F !F?D= 9F 9;GJG?F9 =L 9D HJGNA= FG AFLMALAGF J=?9JAF? L@= AJ=;LAGF G 9 DGF? E=EGJQ ;Q;D= GFDQ ALK =PAKL=F;= /@= J=K;9D= J9F?= ;D9KK G L=KL KL9LAKLA;K @GO=N=J 9J= 9:D= LG AKLAF?MAK@ :=LO==F HGKALAN= KLJGF? =H=F=F;= H=JKAKL=F;= 9F F=?9LAN= KLJGF? =H=F=F;= E=9F J=N=JKAGF quot;0%+!+(+$5 ?9AF O= =FGL= 9K L@= AF=P D=N=D 9L LAE= quot; 9F =SF= L@= ;GFLAFMGMKDQ ;GEHGMF= KAF?D= H=JAG J=LMJF JGE quot; LG quot; 9K DF DF /G 9NGA ;GFMKAGF OAL@ L@= FGL9LAGF JGE GMJ J9FGE O9DC L=KL AF K=;LAGF O= =FGL= L@= LJMF;9LAGF D9? AF 9QK 9K +MJ DGF? E=EGJQ E=L@GGDG?Q GDDGOK =P9;LDQ JGE (G (// ( 1./0 *!quot;(.+0 quot;/ (quot;! *$quot; /@= ;D9KKA;9D $MJKL
  • 77. )9F=D:JGL J=K;9D= J9F?= KL9LAKLA; AK
  • 78. )9P
  • 79. )AF
  • 80. !
  • 81. O@=J= ! AK L@= MKM9D E9PAEME DAC=DA@GG KL9F9J =NA9LAGF =KLAE9LGJ
  • 82. !
  • 83. 2@=F HJGH=JDQ FGJE9DAR= L@AK KL9LAKLA; O=9CDQ ;GFN=J?=K LG L@= J9F?= G L@= JGOFA9F :JA?= /@= ;D9KKA;9D J=K;9D= J9F?= KL9LAKLA; @GO=N=J G=K FGL AKLAF?MAK@ :=LO==F K@GJL
  • 84. 9F DGF?
  • 85. L=JE =H=F=F;= (G K@GOK L@9L GJ K@GJL
  • 86. L=JE 9MLG;GJJ=D9LAGF ;G=Y;A=FLK G H=J;=FL L@= E=9F G E9Q := :A9K= MHO9J :Q H=J;=FL ;9MKAF? 9 J=B=;LAGF G L@= FMDD @QHGL@=KAK 9L 9FQ ;GFN=FLAGF9D KA?FAS;9F;= D=N=D #AN=F L@AK O=9CF=KK 9F L@= K@GJL
  • 87. L=JE 9MLGJ=?J=KKAN= HJGH=JLA=K G GMJ 9L9 =K;JA:= AF K=;LAGF O= K=D=;L= L@= EGAS= J=K;9D= J9F?= KL9LAKLA; (G GJ GMJ DGF? E=EGJQ 9F9DQKAK :=;9MK= G ALK AFN9JA9F;= LG K@GJL
  • 88. L=JE K=JA9D ;GJJ=D9LAGF
  • 89. +8/ +!7quot;! quot;/ (quot;! *$quot; /@= EGAS= J=K;9D= J9F?= KL9LAKLA; AZ=JK GFDQ AF ALK =FGEAF9LGJ LG 9;@A=N= AFN9JA9F;= LG K@GJL E=EGJQ HJG;=KK=K
  • 90. )9P
  • 91. )AF
  • 92. O@=J=
  • 93. 9F 9F
  • 94. 9J= L@= K9EHD= N9JA9F;= 9F 9MLG;GN9JA9F;= MH LG D9? G J=KH=;LAN=DQ *GL= L@9L L@= EGAS= J=K;9D= J9F?= KAEHDAS=K LG L@= ;D9KKA;9D $MJKL
  • 95. )9F=D:JGL J=K;9D= J9F?= KL9LAKLA; AF L@= KH=;A9D ;9K= O@=J= E9AF ;JALA;AKE G L@= EGAS= -. AK L@9L L@=J= AK DALLD= ?MA9F;= 9:GML @GO LG K=D=;L 9F GHLAE9D LJMF;9LAGF D9? % AK ;@GK=F LGG KE9DD KA?FAS;9FL 9MLG;GN9JA9F;=K E9Q := A?FGJ= L@MK :A9KAF? L@= KL9LAKLA; DKG A AK LGG D9J?= J=D9LAN= LG L@= K9EHD= KAR= (G 9F )9;'AFD9Q K@GO L@9L L@= SFAL=
  • 96. K9EHD= AKLJA:MLAGF =NA9L=K KA?FAS;9FLDQ JGE ALK 9KQEHLGLA; DAEAL FJ=OK HJGNA=K 9F 9KQEHLGLA; 9L9
  • 97. =H=F=FL O@=J= AK L@= ?J=9L=KL AFL=?=J D=KK L@9F GJ =IM9D LG 9F AK L@= SJKL
  • 98. GJ=J 9MLG;GJJ=D9LAGF ;G=Y;A=FL 2= K@GO L@= FJ=OK 9L9 =H=F=FL AF K=;LAGF :=DGO 9 :JG9=J J9F?= G UK 9J= ?J9H@= AF HH=FAP DL@GM?@ O= J=HGJL L@= FJ=OK AF L@AK H9H=J AL @9K FGL :==F HJGN=F LG := 9F GHLAE9D E=L@G GJ K=D=;LAF? 9F FG CFGOF E=L@G ;MJJ=FLDQ =PAKLK %F =L=JEAFAF? L@= KA?FAS;9F;= G GMJ J=KMDLK AL ;9F := K@GOF L@9L L@= EGAS= J=K;9D= J9F?= KL9LAKLA; ;GFN=J?=K LG L@= J9F?= G L@= JGOFA9F :JA?= quot;GDDGOAF? JGE /@=GJ=E G (G L@= ;MEMD9LAN= AKLJA:MLAGF MF;LAGF quot; GJ L@=
  • 99. J9F?= G L@= JGOFA9F :JA?= AK ?AN=F 9K
  • 100. JALA;9D N9DM=K G L@= LOG
  • 101. L9AD= L=KL ;9F := G:L9AF= JGE L@= 9:GN= =IM9LAGF L@= EGKL ;GEEGFDQ MK= N9DM=K 9J= K@GOF AF /9:D= /9:D= JALA;9D 19DM=K G L@= AKLJA:MLAGF
  • 102. #
  • 103. # quot;A?MJ= MEMD9LAN= AKLJA:MLAGF quot;MF;LAGF G L@= )GAS= -. quot;/1(0/ /@= J=KMDLK G GMJ DGF? E=EGJQ 9F9DQKAK 9J= K@GOF AF =L9AD AF HH=FAP ?9AF L@= 9K@= GJ9F?= 9F J= DAF=K J=HJ=K=FL 9F H=J;=FL J=B=;LAGF D=N=DK G L@= EGAS= J=K;9D= J9F?= @Q
  • 104. HGL@=KAK L=KL J=KH=;LAN=DQ .A?FAS;9FLDQ D9J?=
  • 105. N9DM=K AFA;9L= HGKALAN= KLJGF? =H=F=F;=
  • 106. N9DM=K :=DGO L@= DGO=J J=B=;LAGF :9F K@GO F=?9LAN= KLJGF? =H=F=F;= /9:D= J=HGJLK FME=JA;9D J=
  • 107. KMDLK G GMJ EGAS= J=K;9D= 9F9DQKAK MKAF? FJ=OKU 9L9
  • 108. =H=F=FL 2= SF DALLD= =NA=F;= GJ DGF?
  • 109. L=JE E=EGJQ AF ?DG:9D =IMALQ AFA;=K 2AL@ 9BMKLE=FLK GJ K@GJL
  • 110. L=JE 9MLG;GJJ=D9LAGFK G MH LG LJ9AF? 9QK 9HHJGPAE9L=DQ GF= Q=9J L@= FMDD @QHGL@=KAK G FG DGF? L=JE =H=F=F;= ;9FFGL := J=B=;L= GJ G L@= =IMALQ E9JC=LK KLMA= JALA;AKEK D=NA= 9?9AFKL L@= EGAS= J=K;9D= J9F?= :Q 9ADDA= GJ =P9EHD= ;AL= L@9L 9 E9BGJ HJ9;LA;9D AY;MDLQ ;GF;=JFK L@= ;@GA;= G 9F @GO LG AKLAF?MAK@ :=
  • 111. LO==F K@GJL J9F?= =H=F=F;A=K 9F DGF? J9F?= =H=F=F;A=K +MJ ?J9H@A;9D J=KMDLK AF HH=FAP G FGL KMHHGJL L@AK ;D9AE 2= 9AD LG J=B=;L L@= FMDD @Q
  • 112. HGL@=KAK 9L *- AFL=?=J D9? GJ L@= 0FAL= .L9L=K 0FAL= 'AF?GE 9F E9FQ GL@=J =E=J?AF? 9F AFMKLJA9DAR= =IMALQ E9JC=LK quot;MJL@=JEGJ= GMJ SFAF?K 9J= D9J?=DQ ;GFKAKL=FL OAL@ GL@=J 9F9DQK=K G L@= 0 . (G 9F ?DG:9D @GO =L 9D =IMALQ E9JC=LK %F L@= GJ=A?F =P;@9F?= E9JC=LK O= SF ?J=9L AKH9JALQ AF L@= DGF? E=EGJQ =NA=F;= :=LO==F =E=J?AF? 9F AFMKLJA9DAR= =;GFGEA=K GFLJ9JQ LG )MDDA?9F O= SF FG =NA=F;= G DGF? E=EGJQ AF L@= :AD9L=J9D LJ9= G 0 . GDD9JK OAL@ GL@=J 9N9F;= E9JC=L ;MJJ=F;A=K DAC=DQ J=9KGF GJ L@AK AKH9JALQ AK )MDDA?9FUK MK= G EGFL@DQ 9N=J9?=K AFKL=9 G HGAFL 9L9 O@A;@ E9Q :A9K J=KMDLK AF L@= HJ=K=F;= G K@GJL
  • 113. L=JE =H=F=;= AF L@= 9ADQ 9L9 2= J=B=;L L@= FMDD @QHGL@=KAK GJ E9FQ =E=J?AF? =;GFGEA=K @GO=N=J H9JLA;MD9JDQ AF (9LAF E=JA;9 2= SF N=JQ DALLD= =NA=F;= G DGF? E=EGJQ AF EGKL ;GEEGALQ E9JC=LK $GO=N=J GJJ9RR9 =L 9D GMF J9;L9D J=LMJFK AF L@= MLMJ=K E9JC=LK GJ KGQ:=9FK O@=9L G9LK 9F ;GJF 2= KAEAD9JDQ GMF DGF? E=EGJQ AF L@= KHGL J=LMJFK G L@= KGQ:=9FK E9JC=L K AF (G O@=F J=HGJLAF? J=KMDLK GJ L@= 9L9
  • 114. =H=F=FL O= J=HD9;= L@= *=O=Q 9F 2=KL 9MLG;GJJ=D9LAGF O=A?@LK AF =IM9LAGF OAL@ L@GK= KM??=KL= :Q FJ=OK J=B=;LAGF G L@= FMDD @QHGL@=KAK G=K FGL HJ=;AK=DQ AEHDQ L@9L DGF? E=EGJQ AK HJ=K=FL :ML L@9L L@= KLG;@9KLA; HJG;=KK G=K FGL KAEMDL9F=GMKDQ K9LAKQ 9DD G L@= @QHGL@=KAK ;GFALAGFK AF (G )MDDA?9F MK=K EGFL@DQ 9L9 JGE L@= quot;==J9D -=K=JN= 9FC G .L (GMAK
  • 115. Equity Indices Foreign Exchange Country * V( *) * V( *) Commodity * V( *) Argentina 4 1.50 2 1.91* Crude Oil 0 0.95 Brazil 5 1.31 3 1.89* Gasoline 1 1.06 Chile 14 1.75 3 1.88* Natural Gas 0 0.92 Colombia 7 1.62 0 1.91* Heating Oil 3 1.02 Mexico 7 1.38 0 1.00 Copper 4 1.28 Peru 11 2.31** 2 1.41 Aluminum 2 1.26 Venezuela 8 1.25 --- --- Lead 4 1.26 China 2 1.38 --- --- Nickel 1 1.30 Hong Kong 4 1.37 --- --- Tin 4 1.54 Indonesia 12 1.66 6 1.46 Zinc 0 1.47 India 6 1.45 9 2.12** Gold 3 1.03 South Korea 6 1.88* 7 1.95* Platinum 2 1.39 Malaysia 8 1.50 1 1.35 Silver 2 1.00 Philippines 9 1.37 5 1.67 Cotton 2 1.58 Russia 7 1.66 8 2.00* Rubber 13 1.21 Singapore 9 1.48 5 1.34 Corn 0 1.65 Taiwan 5 1.50 --- --- Wheat 5 1.19 Thailand 7 1.79 4 1.57 Soybeans 1 2.08* Israel 1 0.98 2 2.05* Cattle 2 0.72** Kuwait 1 1.85 --- --- Cocoa 2 0.90 Nigeria 15 1.21 12 1.23 Coffee 0 1.25 Saudi Arabia 2 2.20** --- --- Sugar 4 1.57 South Africa 4 1.43 1 2.01* Turkey 4 1.47 5 1.36 UAE 2 2.16** --- --- Australia 7 1.36 3 1.30 Belgium 8 1.85 --- --- Canada 9 0.99 2 1.64 Czech Republic 5 1.86 1 1.71 Denmark 3 2.02* --- --- European Union --- --- 0 1.51 France 2 1.54 --- --- Germany 1 1.58 --- --- Hungary 5 1.39 --- --- Italy 11 1.61 --- --- Japan 7 1.95* 3 1.23 Netherlands 0 1.40 --- --- Norway 1 2.12** 0 1.43 New Zealand 5 1.00 2 1.45 Poland 6 1.32 3 1.79 Sweden 1 1.93* 0 1.48 Spain 2 1.63 --- --- Switzerland 2 1.48 2 1.38 UK 2 1.18 4 1.44 US 5 1.57 --- --- * and ** denote significance at the 95 and 99 percent confidence levels, respectively /9:D= -=KMDLK G L@= )GAS= -. /=KL GJ +HLAE9D (9?
  • 116. +* (1/+* /@AK H9H=J HJ=K=FLK 9F =PL=FKAN= 9F9DQKAK G K@GJL
  • 117. 9F DGF?
  • 118. L=JE E=EGJQ AF L@= J=LMJFK G AFL=J
  • 119. F9LAGF9D SF9F;A9D 9L9 /@= J9FGE O9DC K=;LAGF 9LL=EHLK LG 9FKO=J L@= IM=KLAGF ;9F 9KK=L HJA;=K := GJ=;9KL= :9K= GF @AKLGJA;9D HJA;= AFGJE9LAGF 9DGF= 0KAF? 9 @=L=JGK;=9KLA;ALQ
  • 120. ;GFKAKL=FL L=KL O= ;GF;DM= L@9L SF9F;A9D 9L9 9J= :JG9DQ MFHJ=A;L9:D= OAL@ 9 =O FGL9:D= =P;=HLAGFK quot;AJKL =F=J?Q HJA;=K =P@A:AL E=9F
  • 121. J=N=JLAF? HJA;= :=@9NAGJ .=;GF E9JC=LK OAL@ HGGJ=J JAKC
  • 122. 9BMKL= H=J
  •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
  • 124. quot;#quot;.quot;* quot;/ 67 FJ=OK $=L=JGKC=9KLA;ALQ 9F MLG;GJJ=D9LAGF GFKAKL=FL GN9JA9F;= )9LJAP !K
  • 125. LAE9LAGF
  • 126. $#$quot;(
  • 127. 67 9ADDA= - / (GF? )=EGJQ ,JG;=KK=K 9F quot;J9;LAGF9D %FL=?J9LAGF AF !;GFGE=LJA;K $)#! $
  • 128. $#$quot;('
  • 129. 67 9ADDA= - / GDD=JKD=N / 9F )ACC=DK=F $ + quot;J9;LAGF9DDQ %FL=?J9L= #=F=J9DAR= MLGJ=?J=KKAN= GFALAGF9D $=L=JGKC=9KLA;ALQ $)#! $
  • 130. $#$quot;('
  • 131. 67 D=9F=Q ) 9F #J==F9O9Q (GF?
  • 132. -MF /J=FK AF L@= -=D9LAN= ,JA;= G ,JAE9JQ GEEGALA=K 9F AF L@= /=JEK G /J9= G =N=DGHAF? GMFLJA=K ,$
  • 133. $#$quot; %'
  • 134. 67 GDD=JKD=N / #=F=J9DAR= MLGJ=?J=KKAN= GFALAGF9D $=L=JGKC=9KLA;ALQ $)#! $
  • 135. $#$quot;('
  • 136. 67 9DN=L ( quot;AK@=J 9F )9F=D:JGL )MDLAJ9;L9D )G=D G KK=L -=LMJFK $+!' $)#($# ')''$# %' 67 9EH:=DD 4 (G 2 9F )9;'AFD9Q
  • 137. $#$quot;(' $ ##! (' *=O =JK=JQ ,JAF;=LGF 0FAN=JKALQ ,J=KK 67 9F9J=DD9 # 9F ,GDD9J . ' !Y;A=F;Q G GEEGALQ quot;MLMJ=K 1=;LGJ MLGJ=
  • 138. ?J=KKAGF F9DQKAK $)#! $ )()' ('
  • 139. 67 @GO ' 1 ,9F ) 9F .9C9FG - +F L@= (GF?
  • 140. /=JE GJ .@GJL
  • 141. /=JE =H=F=F;= AF .LG;C ,JA;=K !NA=F;= JGE %FL=JF9LAGF9D .LG;C )9JC=LK *+ $ )#(((* ## # $)#(#
  • 142. 67 GJ9RR9 ) )9DDA9JAK # *9J=DDA .=9J;@AF? GJ J9;L9D KLJM;LMJ= AF 9?JA;MDLMJ9D MLMJ=K E9JC=LK $)#! $ )()' (' X 67 9;GJG?F9 ) ) )[DD=J 0 *9?D=J - +DK=F - 9F ,A;L=L + 1 #=G?J9H@A;9D )G=D GJ L@= 9ADQ 9F 2==CDQ .=9KGF9D 1GD9LADALQ AF L@= quot;GJ=A?F !P;@9F?= )9JC=L $)#! $ #(#($#! $#- # ##
  • 143. 67 A;C=Q 9F quot;MDD=J 2 MLGJ=?J=KKAN= /AE= .=JA=K OAL@ 9 0FAL -GGL $)#! $ ( quot;# (('(! ''$($#
  • 144. 67 AF? 5 #J9F?=J 2 9F !F?D= - quot; (GF? )=EGJQ ,JGH=JLQ G .LG;C -=LMJFK 9F 9 *=O )G=D $)#! $
  • 145. quot;%! ##
  • 146. 67 !F?D= - quot; MLGJ=?J=KKAN= GFALAGF9D $=L=JGK;=9KLA;ALQ OAL@ !KLAE9L=K G L@= 19JA
  • 147. 9F;= G 0FAL= 'AF?GE %FT9LAGF
  • 148. $#$quot;(
  • 149. 67 #=E9F $ )=9F -=N=JKAGF N=JKMK -9FGE 29DC AF +AD 9F *9LMJ9D #9K ,JA;=K *#' # (quot;(! ## AJC@9MK=J GKLGF 67 $MJKL $ ! (GF?
  • 150. L=JE .LGJ9?= 9H9;ALQ G -=K=JNGAJK #'($#' $ ( quot;# $(- $ *!
  • 151. ##'
  • 152. 67 %FL=JF9LAGF9D )GF=L9JQ quot;MF ##)! %$( $#
  • 153. ,# #quot;#(' #
  • 154. ,# '(($#' 67 (AM 4 9F $= 19JA9F;=
  • 155. -9LAG /=KL G -9FGE 29DCK AF quot;GJ=A?F !P;@9F?= -9L=K $)#! $ ##
  • 156. 67 (G 2 (GF? /=JE )=EGJQ AF .LG;C )9JC=L ,JA;=K
  • 157. $#$quot;(
  • 158. 67 (G 2 9F )9;'AFD9Q .LG;C )9JC=L ,JA;=K G *GL quot;GDDGO -9FGE 29DCK !NA=F;= JGE 9 .AEHD= .H=;AS;9LAGF /=KL *+ $ ##! ()'
  • 159. 67 (G 2 9F )9;'AFD9Q /@= .AR= 9F ,GO=J G L@= 19JA9F;= -9LAG /=KL AF quot;AFAL= .9EHD=K )GFL= 9JDG %FN=KLA?9LAGF $)#! $
  • 160. $#$quot;('
  • 161. 67 )9DCA=D # #$quot; ! $+# !! (( *=O 4GJC 2 2 *GJLGF 9F GEH9FQ 67 )9F=D:JGL /@= 19JA9LAGF G =JL9AF .H=;MD9LAN= ,JA;=K $)#! $ )'#''
  • 162. 67 )9F=D:JGL 2@=F 9F ,JA;= := J:ALJ9?= !Y;A=FLDQ (AEAL LG L@= 19DAALQ G L@= -9FGE 29DC 9F )9JLAF?9D= )G=DK *+ $
  • 163. $#$quot;' # (('('
  • 164. 67 )9F=D:JGL .L9LAKLA;9D )=L@GGDG?Q GJ *GFH=JAGA; Q;D=K quot;JGE L@= GN9JA9F;= LG -. F9DQKAK ##!' $
  • 165. $#$quot; # $! ')quot;#(
  • 166. 67 )MDDA?9F - quot; quot;J9;L9D F9DQKAK G quot;GJ=A?F !P;@9F?= )9JC=LK #(#($#! *#' #
  • 167. $#$quot; '
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  • 169. $#$quot;(
  • 170. 67 -G:=JLK $ .L9LAKLA;9D N=JKMK DAFA;9D ,J=A;LAGF G L@= .LG;C )9JC=L #( $ ' # )(- ' 0FAN=JKALQ G @A;9?G 67 .@9JH= 2 quot; /@= JAL@E=LA; G ;LAN= )9F9?=E=FL ##! #!-'(' $)#!
  • 171. 67 /9QDGJ . $!!# ##! quot; ' *=O 4GJC 2AD=Q
  • 172. ,,quot;*!4 0 ,,quot;*!4 -105 *! quot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quot;GJ =P9EHD= 9L L@= :=?AFFAF? G L@= 9L9K=L KGE= ;GMFLJA=K DAC= ,=JM @9 AF=P N9DM=K 9L GJ F=9J V W -=LMJFK ;9D;MD9L= GF KM;@ DGO HJA;= D=N=DK O=J= AF@=J=FLDQ MF=SF= GJ =PLJ=E=DQ NGD9LAD= 9F L@MK FGL J=HJ=K=FL9LAN= G L@= @AKLGJA;9D J=;GJ K 9 JMD=
  • 173. G
  • 174. L@ME: O= ;GJJ=;L= GJ L@AK :Q =DAEAF9LAF? L@= SJKL quot; G:K=JN9LAGFK O@=J= D=9NAF? 9 J=KAM9D JGMFAF? =JJGJ FG ?J=9L=J L@9F GMFLJQ /A;C=J =K;JAHLAGF .9EHD= EEQQ 0* )quot;. - J?=FLAF9 )- )=JN9D %F=P
  • 175. 5 J9RAD %3 %3 %F=P
  • 176. ( @AD= %#, %,. .LG;C %F=P
  • 177. + GDGE:A9 %# %# .LG;C %F=P
  • 178. )3 )=PA;G )!3+( GDK9 .LG;C %F=P
  • 179. ,! ,=JM %#1( ,=JM (AE9 #=F=J9D %F=P
  • 180. 1! 1=F=RM=D9 %1 % .LG;C %F=P
  • 181. )quot;.$*$ / $ @AF9 .$+), .@9F?@9A GEHGKAL= %F=P
  • 182. $' $GF? 'GF? $.% $9F? .=F? .LG;C %F=P
  • 183. GMFLJQ /A;C=J =K;JAHLAGF .9EHD= EEQQ % %FGF=KA9 % 9C9JL9 .LG;C %F=P
  • 184. %* %FA9 .!*.!3 .=FK=P .LG;C %F=P
  • 185. '+ .GML@ 'GJ=9 '+.,% '+.,% .LG;C %F=P
  • 186. ) )9D9QKA9 '(% 'M9D9 (MEHMJ GEHGKAL=
  • 187. ,$ ,@ADAHHAF=K ,+), ,.!% .LG;C %F=P
  • 188. -0 -MKKA9 -/.% -MKKA9F /J9AF? .QKL=E
  • 189. .% .AF?9HGJ= .!.(( DD
  • 190. !IMALA=K .LG;C %F=P
  • 191. / /9AO9F /2.! /2.! .LG;C %F=P
  • 192. /$ /@9AD9F .!/ 9F?CGC .!/ .LG;C %F=P
  • 193. !!(quot; /0 *! #. %. %KJ9=D /
  • 194. /=D NAN .LG;C %F=P
  • 195. '2 'MO9AL '2.!% 3 'MO9AL .! 0FO=A?@= %F=P
  • 196. *# *A?=JA9 *#.!%* 3 *A?=JA9 .LG;C !P;@9F?=
  • 197. . .9MA J9:A9 ..!% 3 /99OMD DD
  • 198. .@9J=K
  • 199. .quot; .GML@ JA;9 (.$ .! DD
  • 200. .@9J=K .LG;C %F=P
  • 201. /' /MJC=Q 30 %KL9F:MD *9LAGF9D %F=P
  • 202. 0 0! quot;)#% M:9A #=F=J9D .LG;C %F=P
  • 203. *!1/0.(6quot;! +*+)quot;/ ( MKLJ9DA9 . DD +JAF9JA=K .LG;C %F=P
  • 204. ! =D?AME !(./' =D?A9F DD
  • 205. .@9J=K
  • 206. 9F99 .,/.3 . , /GJGFLG .LG;C %F=P
  • 207. 5 R=;@ -=HM:DA; ,3 ,3 .LG;C %F=P
  • 208. * =FE9JC '3 +)3 GH=F@9?=F
  • 209. quot;- quot;J9F;= .quot; .quot; .LG;C %F=P
  • 210. #! #=JE9FQ $ 3 $ 3 .LG;C %F=P
  • 211. $0 $MF?9JQ 03 M9H=KL .LG;C !P;@9F?=
  • 212. %/ %L9DQ %/.)* 9;;@A .LG;C %F=P
  • 213. 9H9F /,3 /+,%3 .LG;C %F=P
  • 214. *! *=L@=JD9FK !3 EKL=J9E !P;@9F?=K %F=P
  • 215. *+ *GJO9Q +.!3 +KDG DD
  • 216. .@9J=K .LG;C %F=P
  • 217. *5 *=O 5=9D9F *5.! DD +JAF9JA=K .LG;C %F=P
  • 218. GMFLJQ /A;C=J =K;JAHLAGF .9EHD= EEQQ ,( ,GD9F 2%# 2.! 2%# %F=P
  • 219. . .O==F .2.)quot;quot;- Z9JKN9JD=F .LG;C %F=P
  • 220. ., .H9AF ) 3 )9JA .LG;C %F=P
  • 221. .5 .OALR=JD9F .)% .OAKK )9JC=L .LG;C %F=P
  • 222. 0' 0FAL= 'AF?GE .3 quot;/.! DD
  • 223. .@9J=K .LG;C %F=P
  • 224. 0. 0FAL= .L9L=K .,3 . , %F=P
  • 225. ,,quot;*!4 +))+!0quot;/ /@= ;GEEGALQ 9L9 9J= 9ADQ ;DGKAF? HJA;=K AF L@= KHGL E9JC=L -M::=J HJA;= 9L9 AK JGE DGGE:=J? 9F 9DD GL@=J ;GEEGALA=K 9J= JGE L@= GEEGALQ -=K=9J;@ MJ=9M quot;AF9D )9JC=LK 9L9:9K= .GMJ;= GEEGALQ =K;JAHLAGF .9EHD= EEQQ *quot;.$5 JM= +AD *4)!3 2=KL /=P9K %FL=JE=A9L= ;JM= GAD
  • 226. MK@AF? +' *9LMJ9D #9K *4)!3 *9LMJ9D ?9K $=FJQ $M:
  • 227. $=9LAF? +AD *4)!3 $=9LAF? GAD M=D GAD
  • 228. #9KGDAF= *4)!3 #9KGDAF= MFD=9= J=?MD9J
  • 229. FGF
  • 230. GPQ?=F9L= quot;0(/ DMEAFME ()! DMEAFME @A?@ ?J9=
  • 231. GHH=J *4)!3+)!3 GHH=J @A?@ ?J9= K;J9H OAJ=
  • 232. #GD *4)!3+)!3 #GD
  • 233. (=9 0.#. (=9 HA?
  • 234. *A;C=D ()! *A;C=D
  • 235. ,D9LAFME *4)!3+)!3 ,D9LAFME
  • 236. .ADN=J *4)!3+)!3 .ADN=J
  • 237. /AF 0.#. /AF KLJ9A?@LK ;GEHGKAL=
  • 238. 5AF; )) 5AF; HJAE= O=KL=JF GE=KLA;
  • 239. *4)!3 AK L@= *=O 4GJC )=J;9FLAD= !P;@9F?= +)!3 AK L@= GEEGALQ !P;@9F?= ()! AK L@= (GFGF )=L9D !P;@9F?= 0.#. AK L@= 0 . #=GDG?A;9D .MJN=Q )) AK L@= E=JA;9F )=L9D )9JC=L 0. AK L@= 0 . =H9JLE=FL G ?JA;MDLMJ= )- AK L@= )9D9QKA9F -M::=J G9J +/ AK L@= @A;9?G G9J G /J9= '+/ AK L@= '9FK9K ALQ G9J G /J9= )! AK L@= @A;9?G )=J;9FLAD= !P;@9F?= 9F *4+/ AK L@= *=O 4GJC G9J G /J9=
  • 240. GEEGALQ .GMJ;= =K;JAHLAGF .9EHD= EEQQ $. 1(01.quot; 9LLD= )! (AN= ;9LLD= ;@GA;= 9N=J9?=
  • 241. /=P9K+CD9@GE9 G;G9 *4+/ G;G9 %NGJQ G9KL
  • 242. GZ== 0. GZ== J9RADA9F
  • 243. GJF +/ GJF Q=DDGO
  • 244. GLLGF 0. GLLGF
  • 245. -M::=J )- .L9F9J -M::=J
  • 246. .GQ:=9F +/ .GQ:=9FK Q=DDGO
  • 247. .M?9J *4+/ .M?9J OGJD J9O
  • 248. 2@=9L '+/ 2@=9L @9J OAFL=J
  • 249. ,,quot;*!4 +.quot;$* 4 %*$quot; 0quot;/ *GEAF9D :AD9L=J9D =P;@9F?= J9L=K 9J= AF MFALK G GJ=A?F ;MJJ=F;Q H=J 0 . GDD9J /@= 9L9 GJ MKLJ9DA9 J9RAD 9F99 =FE9JC L@= !MJGH=9F )GF=L9JQ 0FAGF %FA9 9H9F )9D9QKA9 )=PA;G *=O 5=9D9F *GJO9Q .AF?9HGJ= .GML@ JA;9 .GML@ 'GJ=9 .O==F .OALR=JD9F /9AO9F /@9AD9F 9F L@= 0FAL= 'AF?GE 9J= L@= ,) J9L=K JGE L@= quot;==J9D -=K=JN= 9FC G *=O 4GJC DD GL@=J =P;@9F?= J9L= 9L9 9J= ;DGKAF? HJA;=K JGE DGGE:=J? GMFLJA=K ;MJJ=FLDQ =EHDGQAF? 9 SP= GJ H=??= =P;@9F?= J9L= J=?AE= 9J= A?FGJ= AF L@AK KLMQ :=;9MK= ;9D;MD9LAGFK G L=EHGJ9D =H=F=F;= 9J= E=9FAF?D=KK MF=J SP= HJA;=K MJJ=F;Q ;D9KKAS;9LAGFK 9J= 9K =SF= AF L@= %)quot; FFM9D -=HGJL GF !P;@9F?= JJ9F?=E=FLK 9F !P;@9F?= -=KLJA;LAGFK GMFLJQ MJJ=F;Q D9KKAS;9LAGF .9EHD= EEQQ 0* )quot;. - J?=FLAF9 ,=KG )9F9?= quot;DG9L
  • 250. 5 J9RAD -=9D %F=H=F=FL quot;DG9L
  • 251. ( @AD= ,=KG %F=H=F=FL quot;DG9L
  • 252. + GDGE:A9 ,=KG )9F9?= quot;DG9L
  • 253. )3 )=PA;G ,=KG %F=H=F=FL quot;DG9L
  • 254. ,! ,=JM *M=NG .GD )9F9?= quot;DG9L
  • 255. +F L@= )9JC=LK quot;GJ=A?F !P;@9F?= K=;LAGF G L@= quot;-*4 O=:KAL= @LLHOOO FQ J: GJ?E9JC=LKPJ9L=KFGGF ;E
  • 256. GMFLJQ MJJ=F;Q D9KKAS;9LAGF .9EHD= EEQQ )quot;.$*$ / % %FGF=KA9 -MHA9@ )9F9?= quot;DG9L
  • 257. %* %FA9 -MH== )9F9?= quot;DG9L
  • 258. '+ .GML@ 'GJ=9 2GF %F=H=F=FL quot;DG9L
  • 259. ) )9D9QKA9 -AF??AL )9F9?= quot;DG9L
  • 260. ,$ ,@ADAHHAF=K ,=KG %F=H=F=FL quot;DG9L
  • 261. -0 -MKKA9 -M:D= )9F9?= quot;DG9L
  • 262. .% .AF?9HGJ= GDD9J )9F9?= quot;DG9L
  • 263. /$ /@9AD9F 9@L )9F9?= quot;DG9L
  • 264. !!(quot; /0 *! #. %. %KJ9=D .@=I=D %F=H=F=FL quot;DG9L
  • 265. *# *A?=JA9 *9AJ9 )9F9?= quot;DG9L
  • 266. .quot; .GML@ JA;9 -9F %F=H=F=FL quot;DG9L
  • 267. /' /MJC=Q *=O (AJ9 %F=H=F=FL quot;DG9L
  • 268. *!1/0.(6quot;! +*+)quot;/ ( MKLJ9DA9 GDD9J %F=H=F=FL quot;DG9L
  • 269. 9F99 GDD9J %F=H=F=FL quot;DG9L
  • 270. 5 R=;@ -=HM:DA; 'GJMF9 )9F9?= quot;DG9L
  • 271. !0 !MJGH=9F 0FAGF !MJG %F=H=F=FL quot;DG9L
  • 272. 9H9F 4=F %F=H=F=FL quot;DG9L
  • 273. *+ *GJO9Q 'JGF= %F=H=F=FL quot;DG9L
  • 274. *5 *=O 5=9D9F GDD9J %F=H=F=FL quot;DG9L
  • 275. ,( ,GD9F 5DGLQ %F=H=F=FL quot;DG9L
  • 276. . .O==F 'JGF9 %F=H=F=FL quot;DG9L
  • 277. .5 .OALR=JD9F quot;J9F; %F=H=F=FL quot;DG9L
  • 278. 0' 0FAL= 'AF?GE ,GMF %F=H=F=FL quot;DG9L
  • 279. MKLJA9 =D?AME quot;AFD9F quot;J9F;= #=JE9FQ #J==;= %J=D9F %L9DQ (MP=E:GMJ? L@= *=L@=JD9FK ,GJLM?9D 9F .H9AF H9JLA;AH9L= AF L@= !MJGH=9F )GF=L9JQ 0FAGF /@= !MJGH=9F =FLJ9D 9FC E9Q AFL=JN=F= LG KEGGL@ TM;LM9LAGFK AF L@= =MJG =P;@9F?= J9L=
  • 280. ,,quot;*!4 1)).5 00/0 / ,,quot;*!4 -105 *! quot;/ Sample Standard Excess Jarque-Bera Size Mean Deviation Skewness Kurtosis Statistic Country Argentina 1940 0.051 2.18 0.17 5.41 2377.82** Brazil 2879 0.120 2.01 0.61 16.31 32072.80** Chile 4358 0.069 0.78 0.16 3.82 2666.04** Colombia 1528 0.167 1.51 -0.06 14.38 13165.80** Mexico 4644 0.106 1.57 -0.09 5.68 6253.92** Peru 3866 0.127 1.46 0.22 6.70 7259.93** Venezuela 3224 0.133 1.82 -0.13 13.38 24045.15** China 3121 0.060 1.84 0.55 21.33 59297.77** Hong Kong 9042 0.057 1.85 -0.37 12.39 58083.83** Indonesia 5795 0.059 1.57 4.00 97.61 2316205.03** India 5639 0.051 1.59 -0.06 4.61 5005.44** Korea 6620 0.043 1.62 -0.16 4.59 5847.42** Malaysia 7316 0.036 1.40 -0.61 32.44 321301.57** Philippines 5079 0.027 1.67 0.10 9.49 19048.88** Russia 2995 0.078 2.70 -0.42 6.50 5357.90** Singapore 7951 0.036 1.21 -1.32 34.04 386172.07** Taiwan 8165 0.046 1.76 -0.23 3.77 4903.65** Thailand 4803 0.029 1.70 0.02 6.23 7773.66** Israel 2301 0.063 1.74 -0.17 3.70 1325.61** Kuwait 736 0.228 1.27 -0.50 5.97 1122.54** Nigeria 2186 0.081 0.86 -0.98 15.52 22303.69** Saudi Arabia 2025 0.063 1.62 -0.94 15.32 20113.67** South Africa 3054 0.050 1.20 -0.74 7.86 8144.32** Turkey 4403 0.163 2.93 0.02 3.48 2220.95** UAE 627 0.252 2.31 0.14 3.94 408.59** Australia 6978 0.036 0.95 -4.53 127.01 4714368.66** Belgium 4679 0.030 0.89 0.05 7.11 9847.77** Canada 7602 0.035 0.85 -0.99 13.53 59242.83** Czech Republic 3218 0.014 1.21 -0.22 3.09 1307.13** Denmark 2975 0.043 0.94 -0.51 2.55 933.22** France 4234 0.030 1.14 -0.21 3.45 2130.20** Germany 4965 0.038 1.30 -0.56 6.98 10339.31** Hungary 4163 0.074 1.60 -0.79 13.69 32927.86** Italy 8545 0.027 1.26 -0.46 5.22 10001.44** Japan 9027 0.017 1.04 -0.52 11.62 51222.52** Netherlands 6275 0.035 1.28 -0.32 8.22 17771.00** Norway 2981 0.037 1.19 -0.53 3.38 1560.75** New Zealand 3902 0.041 0.80 0.00 8.70 12299.44** Poland 3348 0.053 1.90 -0.17 7.36 7572.63** Sweden 1995 -0.004 1.41 -0.11 2.42 490.24** Spain 3641 0.045 1.17 -0.36 3.22 1649.38** Switzerland 4824 0.029 1.13 -0.52 7.03 10142.03** UK 5864 0.033 0.96 -0.81 11.71 34140.18** US 9317 0.040 0.99 -1.43 34.83 474220.14** * and ** represent significance at the 95 and 99 percent confidence levels, respectively
  • 281. ,,quot;*!4 +))+!0quot;/ Sample Standard Excess Jarque-Bera Size Mean Deviation Skewness Kurtosis Statistic Commodity Crude Oil 5630 0.016 2.45 -1.22 18.93 85435.26** Gasoline 1086 0.090 2.96 -0.15 7.08 2271.70** Natural Gas 3405 0.080 4.89 0.70 24.74 87144.91** Heating Oil 1086 0.114 2.33 0.26 1.06 63.64** Copper 1086 0.109 1.99 -0.50 3.10 480.71** Aluminum 1114 0.074 1.45 -0.25 2.11 219.03** Lead 1087 0.109 2.03 -0.37 5.89 1597.30** Nickel 1114 0.117 2.65 -0.35 3.32 535.69** Tin 1097 0.111 1.69 -0.40 3.79 685.51** Zinc 1097 0.079 2.00 -0.50 2.60 356.57** Gold 1166 0.078 1.11 -0.57 2.58 385.74** Platinum 1097 0.086 1.25 -0.02 5.48 1372.32** Silver 1164 0.104 2.04 -1.41 9.79 5032.06** Cotton 1087 0.017 1.73 0.29 11.91 6433.98** Rubber 1548 0.088 0.87 -0.28 2.48 416.12** Corn 1537 0.059 1.76 0.15 1.23 103.49** Wheat 1092 0.088 2.28 -0.49 64.15 187269.43** Soybeans 1090 0.057 1.75 -0.82 4.35 983.71** Cattle 1108 0.022 1.43 0.24 3.64 622.91** Cocoa 1086 0.044 1.73 -0.24 3.39 530.14** Coffee 1085 0.084 1.98 0.30 4.31 857.82** Sugar 1086 0.071 1.91 -0.13 2.27 236.46** * and ** represent significance at the 95 and 99 percent confidence levels, respectively
  • 282. ,,quot;*!4 +.quot;$* 4 %*$quot; 0quot;/ Sample Standard Excess Jarque-Bera Size Mean Deviation Skewness Kurtosis Statistic Country 1544 0.030 1.15 3.18 102.82 682741.37** Argentina 2218 -0.004 1.07 0.54 13.98 18173.92** Brazil 2175 -0.007 0.54 0.07 2.14 414.97** Chile 2163 -0.003 0.53 0.06 6.49 3803.08** Colombia 2808 0.010 0.51 0.87 8.19 8195.30** Mexico 543 0.049 0.30 -0.01 8.73 1726.16** Peru 2695 0.036 1.85 1.71 36.17 148223.94** Indonesia 8477 0.017 0.47 4.71 129.04 5912848.31** India 6427 0.003 0.58 3.45 158.07 6704119.60** Korea 638 -0.027 0.25 -0.05 3.24 279.5911** Malaysia 2561 0.001 0.56 -7.75 218.71 5130106.64** Philippines 2355 0.002 0.37 1.98 75.65 563129.97** Russia 6571 -0.008 0.33 -0.80 15.94 70261.65** Singapore 2587 -0.002 0.73 -0.51 15.62 26420.83** Thailand 3819 0.010 0.43 1.47 25.24 102758.53** Israel 2263 0.011 1.47 0.27 16.27 24986.60** Nigeria 8933 0.028 0.83 1.93 53.89 1086480.52** South Africa 1832 0.018 1.24 1.43 23.55 42949.21** Turkey 8015 0.002 0.62 4.62 128.27 5523084.78** Australia 8977 -0.001 0.32 -0.01 3.82 5445.18** Canada 3122 -0.016 0.69 0.53 8.09 8663.15** Czech Republic 2226 -0.013 0.58 -0.02 0.85 67.46** European Union 8963 -0.013 0.62 -0.41 5.94 13425.10** Japan 8967 -0.004 0.59 0.36 7.98 24018.13** Norway 8949 0.002 0.67 2.72 66.20 1644907.54** New Zealand 3049 -0.006 0.64 0.28 2.82 1049.42** Poland 8967 -0.002 0.59 1.02 19.68 146297.76** Sweden 8969 -0.016 0.71 0.01 3.77 5317.29** Switzerland 8969 0.001 0.57 0.14 4.20 6608.25** UK * and ** represent significance at the 95 and 99 percent confidence levels, respectively
  • 283. ,,quot;*!4 *!+) (' 5,+0%quot;// quot;/0/
  • 284. ,,quot;*!4 +*$ quot;)+.5 5,+0%quot;// quot;/0/