Strukturierte Investmentprodukte - Universität St.Gallen

Anhang B: Teststatistiken der Regressionsanalyse 211
Teststatistiken (wöchentliche Daten)
Produkt - Typ White 1
LONG
SIP LONG
Kapitalschutz-P. ohne Cap
Outperformance-Zertifikate
plain vanilla Warrants
SHORT
SIP SHORT
Reverse Convertibles
Discount-Zertifikate
knock-out Warrants
NEUTRAL
SIP NEUTRAL
Tracker-Zertifikate
Kapitalschutz-P. mit Cap
Total Derivate
Total Warrants
Total SIP
47.70
(0.00)
32.15
(0.00)
13.14
(0.16)
28.43
(0.00)
45.97
(0.00)
25.68
(0.01)
3.12
(0.96)
5.01
(0.83)
12.41
(0.19)
14.68
(0.10)
7.44
(0.59)
7.44
(0.59)
5.90
(0.75)
6.09
(0.73)
16.53
(0.06)
46.67
(0.00)
13.84
(0.13)
n = 154
1 Teststatistik; Probability Chi-Square in Klammern
Anmerkung: Eigene Darstellung.
Jarque-Bera 1
7.62
(0.02)
87.76
(0.00)
676.92
(0.00)
8.56
(0.02)
9.97
(0.01)
1.77
(0.41)
0.73
(0.69)
4.61
(0.10)
9.66
(0.01)
2.61
(0.27)
8.28
(0.16)
8.28
(0.16)
6.87
(0.03)
460.28
(0.00)
3.68
(0.16)
0.77
(0.68)
2.00
(0.37)
Breusch-Godfrey 1
0.062
(0.803)
2.506
(0.113)
0.065
(0.799)
0.607
(0.436)
0.282
(0.596)
0.006
(0.937)
0.702
(0.402)
1.941
(0.164)
0.002
(0.963)
0.132
(0.716)
0.016
(0.901)
0.016
(0.901)
1.927
(0.165)
0.009
(0.925)
1.395
(0.238)
0.026
(0.872)
0.020
(0.887)