The dataset used is comprised of the NASDAQ Composite and the Toronto Stock Exchange 300 Composite (TSE 300), both indices belonging to mature markets having a high trading volume. It is noted that because the first one is a U.S. index while the second one a Canadian one they do not share the same holidays. Additionally, they belong to two extremes: NASDAQ is a technology-based index, therefore a speculative behavior is expected, while TSE 300 is an industry-based index, therefore a more stable behavior is expected. Indicatively, the standard deviation of NASDAQ is about 165% the standard deviation of TSE 300, which means that NASDAQ’s behavior is more speculative. Also, a high kurtosis value for each index is observed.