0480.0340.0760.0380.0727.274(0.301)
n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.
0.0840.0020.0080.0300.0170.135*0.0290.0260.0050.0748.182(0.389)
0.0920.0030.0120.0910.0160.1210.0200.0100.0250.0648.958(0.464)
0.1060.0350.0050.0470.0480.1270.0290.0430.0150.0429.182(0.485)
USA
Mean Ret (%)Median Ret (%)Std Dev (%)t-statSkewnessKurtosis
0.2090.1132.8261.1590.6982.929
0.0870.0591.3171.0380.2381.024
0.1650.1003.2410.7990.0700.310
0.0140.1143.3340.0660.0280.248
0.3990.0663.6751.7020.8021.618
0.0550.1153.6070.2410.2820.280
0.1050.1523.2180.5100.1482.177
n.a.n.a.n.a.n.a.n.a.n.a.
0.1520.0012.6780.8880.2620.021
0.0180.1412.2720.1240.1050.352
Autocorrelations10.04920.02030.00340.163*50.07360.06970.01280.13090.088100.041LBP (10)16.136p-value(0.904)
0.0750.0070.0200.0150.0260.0750.0950.0850.1220.08512.553(0.750)
0.0480.0900.0700.0110.0650.0760.0840.0070.0730.0259.358(0.502)
0.0460.0750.0380.0250.0560.0640.0860.0040.0500.0216.708(0.247)
0.0450.0410.0100.0130.0480.1230.0250.0830.0650.0138.168(0.388)
0.0940.0550.0100.0200.0130.1110.0580.0190.0750.0258.503(0.42)
0.0730.0050.0020.0420.0230.132*0.0310.0240.0040.0727.773(0.349)
n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.
0.0740.0240.0320.0290.0050.130*0.0170.0570.0600.0287.973(0.369)
0.0720.0470.0410.0430.0030.0940.0380.0570.0680.0337.355(0.308)
The dataset consists of monthly returns for individual currencies from January 1980 to June 2000. The period consists of 246 months. The base currency isdenoted on the far left and the columns to the right give the return statistics of the seven other currencies with respect to the base currency. MSCI and Equalreturns are calculated relative to the base currency. The MSCI column is calculated using the MSCI weights excluding the base currency. The Equal columncalculates the currency return assuming an equal proportion allocated to the seven currencies. The Ljung and Box Q-statistic is denoted as LBP(10) and testswhether the 10 autocorrelations are jointly signi®cant. The p-value for the Q-statistic is given in the last row for each base currency. ** and * indicatesigni®cance at the 1 and 5 per cent levels.
Table 7.2 Descriptive statistics: interest-adjusted currency returns[Australia] CanadaAustralia Mean Ret (%)Median Ret (%)Std Dev (%)t-statSkewnessKurtosis
[France]
Germany
[Japan]
[Swiss]
[UK]
[US]
[MSCI]
[Equal]
n.a.n.a.n.a.n.a.n.a.n.a.
0.0760.1622.8000.4260.7222.837
0.0070.2904.0170.0290.6951.280
0.1040.3634.1930.3880.7381.621
0.1450.6184.3340.5251.0442.206
0.1450.6714.4140.5170.8621.999
0.1050.0813.8370.4300.5091.334
0.0210.1832.9310.1110.9573.675
0.0840.2423.0850.4261.2644.161
0.0130.3663.2740.0621.1132.939
Autocorrelations1n.a.2n.a.3n.a.4n.a.5n.a.6n.a.7n.a.8n.a.9n.a.10n.a.LBP (10)n.a.p-valuen.a.
0.0070.0100.0230.133*0.0550.0430.0080.1010.0180.10010.722(0.620)
0.0490.0260.0020.0500.0160.0460.0670.0130.0600.0414.377(0.071)
0.0560.0310.0240.0750.0120.0390.0670.0080.0530.0385.017(0.110)
0.0140.0700.0860.0010.0450.0740.0600.0240.0960.0318.345(0.405)
0.0900.0230.0190.0710.0010.0690.0320.0020.0900.0046.789(0.255)
0.1180.0240.0850.0640.0110.0960.0290.0150.0790.07711.755(0.698)
0.0630.0460.0080.145*0.0580.0630.0010.1280.0860.03414.546(0.851)
0.0350.0380.0730.119*0.0440.0030.0540.0290.1140.02410.145(0.572)
0.0620.0120.0620.1080.0230.0340.0450.0280.0800.0077.353(0.308)
Canada
Mean Ret (%)Median Ret (%)Std Dev (%)t-statSkewnessKurtosis
0.0010.1622.7560.0060.3802.176
n.a.n.a.n.a.n.a.n.a.n.a.
0.0690.2253.3250.3250.0720.044
0.1690.3623.4190.7750.0600.010
0.0880.4153.8140.3610.7441.873
0.2090.4823.7240.8800.2380.043
0.0480.2903.2440.2310.1671.724
0.0500.0951.3590.5720.3410.926
0.0180.0571.8760.1480.0470.486
0.0510.2952.3570.3420.1070.229
Autocorrelations10.00320.01630.01840.137*50.05560.05770.00480.10590.008100.095LBP (10)11.236p-value(0.661)
n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.
0.0460.1150.0630.0340.0590.0570.0670.0270.0550.0388.925(0.461)
0.0450.0910.0420.0100.0470.0500.0640.0230.0320.0315.684(0.159)
0.0030.0910.0020.0370.0010.0850.0060.0310.0910.0046.373(0.217)
0.0750.0620.0330.0290.0180.0750.0570.0250.0570.0125.983(0.183)
0.0510.0180.0140.1120.0190.0920.0270.0770.0340.12311.572(0.685)
0.0280.0190.0040.0010.0140.0540.1120.1010.146*0.10514.708(0.857)
0.0320.0410.0090.0340.0290.0670.0420.0280.0750.0024.266(0.065)
0.0190.0780.0390.0350.0360.0470.0350.0300.0280.0374.131(0.059)(continued )
Table 7.2 (continued)[Australia] CanadaFrance
Mean Ret (%)Median Ret (%)Std Dev (%)t-statSkewnessKurtosis
[France]
Germany
[Japan]
[Swiss]
[UK]
[US]
[MSCI]
[Equal]
0.1650.2913.9400.6590.3830.647
0.1800.2253.3360.8450.1250.030
n.a.n.a.n.a.n.a.n.a.n.a.
0.1000.1350.8761.7843.03016.213
0.1930.1143.2720.9270.7961.922
0.1410.2071.5881.3970.7163.690
0.1540.2192.6240.9210.0811.231
0.1190.1323.2870.5690.2730.417
0.1570.0052.4101.0190.3860.850
0.0820.0231.8670.6850.3780.487
Autocorrelations10.03820.03130.00540.05350.01060.04670.07080.01290.059100.046LBP (10)4.419p-value(0.074)
0.0430.1130.0640.0330.0550.0640.0650.0290.0500.0388.695(0.439)
n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.
0.0680.0160.0200.0110.0030.0350.0240.209**0.1390.00617.241(0.931)
0.0160.126*0.0030.134*0.0300.0730.0070.0660.0420.01911.387(0.672)
0.0960.0950.0300.0980.0940.123*0.0020.0800.0620.00515.248(0.877)
0.0930.0010.0820.0040.0520.1240.1220.0110.0330.09614.365(0.843)
0.0600.0950.0820.0170.0680.0780.0790.0090.0710.03210.359(0.590)
0.0320.129*0.0920.0590.0870.0620.1010.0030.0410.06613.830(0.819)
0.0230.0910.0790.0470.0580.0750.0960.0100.0390.10411.718(0.696)
Germany Mean Ret (%)Median Ret (%)Std Dev (%)t-statSkewnessKurtosis
0.2760.3644.1141.0530.3840.857
0.2870.3633.4391.3080.1470.099
0.107*0.1350.8561.9652.80514.565
n.a.n.a.n.a.n.a.n.a.n.a.
0.2990.1523.3291.4070.8361.890
0.0420.1341.3380.4890.0330.752
0.2600.3912.7041.5070.1040.982
0.2260.1163.3761.0490.2100.280
0.2680.2592.5151.6690.2550.701
0.2020.2391.9811.5980.1980.257
Autocorrelations10.04420.04030.02040.07650.00860.03670.07180.01290.055100.046LBP (10)5.212p-value(0.123)
0.0390.0880.0420.0090.0430.0530.0610.0230.0240.0315.255(0.127)
0.0670.0170.0230.0100.0040.0370.0230.201**0.1320.00316.075(0.903)
n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.
0.0300.1010.0060.1210.0360.0660.0060.0670.0400.0059.106(0.478)
0.142*0.1060.0320.0320.145*0.1020.0370.0060.0470.07517.874(0.943)
0.0630.0180.1030.0140.0500.0560.1140.0120.0670.09911.765(0.699)
0.0580.0800.0510.0190.0630.0580.0850.0100.0450.0297.339(0.307)
0.0210.0960.0570.0200.0860.0270.1040.0010.0180.0528.556(0.425)
0.0140.0710.0380.0120.0470.0270.0920.0040.0090.0796.027(0.187)(continued )
Table 7.2 (continued)[Australia] CanadaJapan
Mean Ret (%)Median Ret (%)Std Dev (%)t-statSkewnessKurtosis
[France]
Germany
[Japan]
[Swiss]
[UK]
[US]
[MSCI]
[Equal]
0.0350.6214.1760.1330.6641.410
0.0540.4163.7330.2280.3961.123
0.0890.1143.1950.4360.5071.055
0.1900.1523.2390.9220.5501.040
n.a.n.a.n.a.n.a.n.a.n.a.
0.2410.1433.2601.1580.2720.927
0.0430.4923.5350.1900.8372.389
0.0090.2713.6120.0390.4640.753
0.0120.3883.1910.0610.7021.598
0.0570.2842.9140.3050.7401.744
Autocorrelations10.01420.07930.08140.00250.04660.07170.07580.03190.101100.031LBP (10)9.268p-value(0.493)
0.0090.0850.0110.0390.0060.0840.0030.0340.0830.0035.874(0.174)
0.0080.129*0.0050.134*0.0340.0720.0090.0720.0330.01511.536(0.683)
0.0220.0990.0000.1220.0370.0660.0080.0740.0340.0119.162(0.483)
n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.
0.0170.0860.0450.137*0.0040.0850.0220.0480.0230.0059.435(0.509)
0.0700.0550.0200.1140.0370.0950.0320.0690.1220.00312.840(0.767)
0.0680.0590.0380.0370.0260.1080.0040.0980.0680.0049.112(0.479)
0.0540.0720.0190.0740.0210.0980.0170.1040.0790.00210.105(0.569)
0.0000.1030.0190.1180.0160.0940.0060.0840.0870.00811.879(0.707)
Switzerland Mean Ret (%)
0.3360.6764.3101.2210.4741.027
0.3480.4843.7261.4650.0240.027
0.1670.2081.5781.6570.4872.855
0.0600.1341.3400.6980.0790.884
0.3500.1433.3241.6500.5621.444
n.a.n.a.n.a.n.a.n.a.n.a.
0.3160.5172.9011.7110.4211.175
0.2860.3483.6391.2330.0390.005
0.3230.3292.7091.8690.0720.262
0.2660.3022.3061.8100.2090.108
Autocorrelations10.07420.03630.01340.07250.00060.07170.04080.01390.093100.001LBP (10)6.695p-value(0.246)
0.0700.0610.0360.0290.0180.0790.0530.0170.0490.0165.616(0.154)
0.0920.0970.0290.0930.0990.1230.0030.0750.0640.00115.012(0.868)
0.141*0.1060.0350.0300.145*0.1020.0380.0070.0460.07117.744(0.941)
0.0020.0880.0380.140*0.0050.0850.0230.0480.0250.0029.553(0.519)
n.an.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.n.a.
0.0940.0480.0820.0110.0110.0420.0370.0650.0200.0787.755(0.347)
0.1130.0740.0320.0080.0290.0980.0640.0030.0770.0139.717(0.534)
0.1020.0860.0480.0320.0450.0840.0610.0310.0500.0019.035(0.471)
0.1020.0430.0370.0160.0010.0920.0390.0180.0540.0026.560(0.234)
Median Ret (%)Std Dev (%)t-statSkewnessKurtosis
(continued )
Table 7.2 (continued)[Australia] CanadaUK
Mean Ret (%)Median Ret (%)Std Dev (%)t-statSkewnessKurtosis
[France]
Germany
[Japan]
[Swiss]
[UK]
[US]
[MSCI]
[Equal]
0.0400.0813.7850.1640.1720.926
0.0570.2913.2450.2770.1951.907
0.0850.2182.6320.5060.3411.560
0.1860.3902.7081.0780.3481.235
0.0870.4903.6710.3701.2533.749
0.2310.5142.9321.2340.6921.778
n.a.n.a.n.a.n.a.n.a.n.a.
0.0010.0243.2680.0030.1731.938
0.0350.1162.6740.2080.3823.186
0.0460.1052.3820.3000.5742.687
Autocorrelations10.11320.02330.08440.06350.01260.10270.03480.01490.081100.079LBP (10)11.916p-value(0.709)
0.0560.