Chapter 4 Results This chapter presents our results. It is divided in three parts. The first part presents the descriptive statistics of the indices along with an eyeball examination of the assets’ values graphs. To continue with, we display summary tables with our results and interpret them accordingly and finally, we present the outcomes of the robustness tests we conducted. Beforehand, we have to outline that, as Baker et al. (2012) stated, the interpretation of the indices and the results in general involves a high degree of conjecture along with an understanding of market conditions throughout history. 4.1 Descriptive statistics and graphs Table 5 presents the descriptive statistics of the level of our selected sample of indices. The table displays information concerning the mean, the median, the maximum and minimum values, the standard deviation, skewness and kurtosis. We mainly concentrate on the standard deviation which is a measure of volatility and the mean. Looking at Panel A which displays the level of indices, we find evidence that their standard deviations and their means are significantly different. This could be caused due to differences of scale. After standardization (values reported in Panel B), all indices have a zero mean and a standard deviation equal to one which was in fact the objective of this process. Moreover, concentrating on the last row of the table where the number of observations is illustrated, we detect that for three indices -Baker and Wurgler (BW), Merrill Lynch’s Risk Aversion Indicator (ML_RAI) and Global Risk Appetite Monitor by Nomura (NGRAM) -we had fewer available observations.
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Copper An industrial metal (denominated in U.S Dollar). LCPCASH Thomson Reuters DataStream (London Metal Exchange) Bonds U.S Government bonds Government bonds of the U.S, the yields for the 10 year to maturity were used. GT10 GOVT Bloomberg Database German Government bonds Government bonds of Germany, the yields for the 10 year to maturity were used. GTDEM 10Y Bloomberg Database Currencies Swiss Franc to U.S Dollar The exchange rate that indicates how much dollars you buy with 1 Swiss franc. SWISSF$ WM/Reuters Euro to U.S Dollar The exchange rate that indicates how much dollars you buy with 1 Euro. EUDOLLR WM/Reuters Australian Dollar to U.S Dollar The exchange rate that indicates how much dollars you buy with 1 Australian dollar. AUSTDOI WM/Reuters Stock Market Indices DAX A stock market index consisting of the 30 major companies trading on the (large cap denominated in Euro). DAXINDX Thomson Reuters DataStream (Deutsche Boerse) SDAX A consisting of 50 small and companies in (small cap denominated in Euro). SDAXIDX Thomson Reuters DataStream (Deutsche Boerse) Russell 1000 A stock market index consisting of the 1000 highest ranking stocks of the Russell 3000 (large cap denominated in U.S Dollar). FRUSSL1 Thomson Reuters DataStream (Deutsche Boerse) Russell 2000 A stock market index consisting of the bottom 2000 stocks of the Russell 3000 (small cap denominated in U.S Dollar). FRUSSL2 Thomson Reuters DataStream (Deutsche Boerse)