*2.1. Data*

The current study presents a detailed analysis of 59 stock indices. We apply USD denominated stock splits and dividend-adjusted daily closing prices between 26 September 1990 and 21 September 2015; data is provided by Thomson Reuters.

Our selection criteria for covered stock indices is based on their classification in the International Monetary Fund (IMF) Economic Outlook 2015, and the MSCI WORLD Index composition in 2015. In our analysis we allocate approximately the same weight to each region, despite an unequal number of countries and market capitalization. We rebalance the sample by choosing approximately ten indices from each IMF group. We are also interested in the role of well diversified indices e.g., MSCI WORLD and EURO STOXX600, which have also been analyzed.

In order to underline the highly different characteristics of individual stock indices, we present some monthly descriptive statistics in Table 1.


**Table 1.** Descriptive statistics of monthly returns.

Notes: Table 1 shows the descriptive statistics of the monthly returns, where CSI300, XU100, DJI, UAX, and WORLD represent the Shanghai Composite 300, Brose Istanbul 100, Dow Jones, Ukraine UX index, and the MSCI World index respectively.
