Analysis of financial contagion in influential African stock markets

Future Business Journal

Table 1 Descriptive statistics on stock returns before the crisis, during the crisis and after the crisis.

Stats	Mean	Variance	Skewness	Kurtosis	LB
PRE-CRISIS
USA	0.689	3.924	− 0.370	2.258	13.672
SOUTHA ~ A	2.544	18.621	− 0.073	2.054	15.762
NIGERIA	1.389	40.262	0.346	3.329	13.006
EGYPYT	5.034	112.049	0.504	4.179*	10.848
TUNISIA	2.047	10.631	0.795**	2.869	16.605
KENYA	1.796	21.882	− 0.177	4.556**	15.832
CRISIS
USA	− 2.147	27.137	− 0.995**	3.785	8.503
SOUTHA ~ A	− 0.605	28.659	− 0.148	2.928	8.941
NIGERIA	− 1.635	96.559	− 1.175***	4.680	15.976*
EGYPYT	− 1.632	112.922	− 1.130**	4.262*	15.274
TUNISIA	0.706	13.752	0.041	4.716**	5.946
KENYA	− 2.197	46.520	− 0.396	3.047	1.801
POST – CRISIS
USA	1.367	16.636	− 0.379	3.463	33.681
SOUTHA ~ A	1.324	12.947	0.067	2.827	49.300
NIGERIA	0.788	54.271	1.538***	10.060***	20.002
EGYPYT	1.436	76.939	0.214	3.486	30.918
TUNISIA	0.991	15.949	− 0.545**	4.582**	24.294
KENYA	0.660	29.928	− 0.734***	6.657***	43.581

The t statistics are in parentheses. ***, **, and * denote statistical significance at the 1%, 5%, and 10% levels, respectively. All variables are first differences of the natural log of stock indices times 100