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 values assets’ 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 Risk Aversion Indicator (ML_RAI) and Global Risk Appetite Monitor by Lynch’s Nomura (NGRAM) -we had fewer available observations.
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.