| Descriptive statistics . | |||||
|---|---|---|---|---|---|
| Asset returns . | Instrument data . | ||||
| Statistic . | S&P 500 . | Yield . | USDX . | Equities . | Bonds . |
| Min. | −0.095 | −0.185 | −0.027 | −3.134 | −4.830 |
| Max. | 0.109 | 0.089 | 0.024 | 3.375 | 5.600 |
| Median | 0.000 | 0.000 | 0.000 | −0.010 | −0.047 |
| Std. Dev. | 0.013 | 0.018 | 0.005 | 1.000 | 1.000 |
| Skewn. | −0.203 | −0.136 | −0.034 | 0.056 | 0.238 |
| Kurt. | 10.929 | 8.454 | 4.491 | 2.533 | 4.231 |
| Descriptive statistics . | |||||
|---|---|---|---|---|---|
| Asset returns . | Instrument data . | ||||
| Statistic . | S&P 500 . | Yield . | USDX . | Equities . | Bonds . |
| Min. | −0.095 | −0.185 | −0.027 | −3.134 | −4.830 |
| Max. | 0.109 | 0.089 | 0.024 | 3.375 | 5.600 |
| Median | 0.000 | 0.000 | 0.000 | −0.010 | −0.047 |
| Std. Dev. | 0.013 | 0.018 | 0.005 | 1.000 | 1.000 |
| Skewn. | −0.203 | −0.136 | −0.034 | 0.056 | 0.238 |
| Kurt. | 10.929 | 8.454 | 4.491 | 2.533 | 4.231 |
Note: The first three columns present the daily log returns of the S&P 500 index, the U.S. 10-year Treasury constant maturity yield, and the USD Index. The final two columns display proxy data based on U.S. stock index sentiment and U.S. bond sentiment (TRMI MarketPsych indices). The sample covers the period from January 1, 1998 to December 31, 2014, with a total of N = 4435 observations. Data sources: Thomson Reuters.
| Descriptive statistics . | |||||
|---|---|---|---|---|---|
| Asset returns . | Instrument data . | ||||
| Statistic . | S&P 500 . | Yield . | USDX . | Equities . | Bonds . |
| Min. | −0.095 | −0.185 | −0.027 | −3.134 | −4.830 |
| Max. | 0.109 | 0.089 | 0.024 | 3.375 | 5.600 |
| Median | 0.000 | 0.000 | 0.000 | −0.010 | −0.047 |
| Std. Dev. | 0.013 | 0.018 | 0.005 | 1.000 | 1.000 |
| Skewn. | −0.203 | −0.136 | −0.034 | 0.056 | 0.238 |
| Kurt. | 10.929 | 8.454 | 4.491 | 2.533 | 4.231 |
| Descriptive statistics . | |||||
|---|---|---|---|---|---|
| Asset returns . | Instrument data . | ||||
| Statistic . | S&P 500 . | Yield . | USDX . | Equities . | Bonds . |
| Min. | −0.095 | −0.185 | −0.027 | −3.134 | −4.830 |
| Max. | 0.109 | 0.089 | 0.024 | 3.375 | 5.600 |
| Median | 0.000 | 0.000 | 0.000 | −0.010 | −0.047 |
| Std. Dev. | 0.013 | 0.018 | 0.005 | 1.000 | 1.000 |
| Skewn. | −0.203 | −0.136 | −0.034 | 0.056 | 0.238 |
| Kurt. | 10.929 | 8.454 | 4.491 | 2.533 | 4.231 |
Note: The first three columns present the daily log returns of the S&P 500 index, the U.S. 10-year Treasury constant maturity yield, and the USD Index. The final two columns display proxy data based on U.S. stock index sentiment and U.S. bond sentiment (TRMI MarketPsych indices). The sample covers the period from January 1, 1998 to December 31, 2014, with a total of N = 4435 observations. Data sources: Thomson Reuters.
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