Series Mean Std. Dev. LLC HT IPS Breitung
Panel A: Advanced (APC)
Nominal returns 1.6251 28.7160 -9.6803*** -57.2349*** -6.8635*** -8.5061***
Real returns 1.2173 28.7866 -9.4185*** -57.2389*** -6.7762*** -8.3582***
Growth 1.0876 3.8641 -8.6096*** -71.7057*** -6.1420*** -9.7512***
Exchange rate -0.0001 4.4755 -9.8562*** -30.4644*** -4.6785*** -9.3239***
VIX 1201.04 530.40 -3.5961*** -12.0765*** -3.3367*** -5.0977***
GEPU 148.003 72.5534 -13.8379*** -52.0256*** -9.4621*** -13.1886***
GPR 99.2198 43.8669 -12.7067*** -62.3729*** -12.2245*** -13.6163***
Panel B: Emerging (APC)
Nominal returns 2.1088 11.3540 -10.0865*** -35.0676*** -5.5288*** -9.4305***
Real returns 0.9917 11.3951 -9.7676*** -34.5751*** -5.4586*** -9.1876***
Growth 2.3217 4.4861 -3.5346*** -75.985*** -7.6552*** -5.4955***
Exchange rate 0.4398 3.9637 -10.2065*** -40.3133*** -5.4759*** -9.4416***
VIX 1201.04 530.16 -4.2550*** -14.2891*** -3.3367*** -6.0317***
GEPU 148.003 72.5534 -16.3732*** -16.5576*** -9.4621*** -15.6050***
GPR 99.2198 43.8669 -15.0348*** -73.8006*** -12.2245*** -16.1110***