Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India

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Table 2 LB Q and runs tests statistics

Sample periods	LB (5)	LB (15)	LB (20)	Runs Z Statistics
Sensex
Full sample	-0.001	0.024	-0.023	-6.385*
	(46.45)*	(75.99)*	(96.84)*
Jan 1991 – Dec 1993	0.086	0.113	0.055	- 3.528*
	(21.04)*	(52.22)*	(60.94)*
Jan 1994 - Dec 1996	0.015	0.011	-0.052	- 4.236
	(38.39)*	(48.20)*	(50.89)*
Jan 1997 – Dec 1999	-0.050	-0.020	-0.046	-1.842
	(3.73)	(17.04)	(22.41)
Jan 2000 – Dec 2002	-0.022	0.006	-0.094	- 2.611*
	(6.34)	(14.42)	(31.77)**
Jan 2003 – Dec 2005	-0.032	-0.056	0.010	- 2.358*
	(26.58)*	(35.45)*	(44.28)*
Jan 2006 – Dec 2008	-0.017	0.011	-0.049	- 1.3356
	(7.60)	(15.23)
Jan 2009 – Dec 2011	-0.055	0.002	-0.081	- 0.439
	(6.65)	(17.41)	(31.47)**
Jan 2012 – Mar 2013	-0.008	0.009	0.024	- 0.929
	(2.15)	(12.78)	(22.54)
Nifty
Full sample	-0.008	0.001	-0.042	- 5.765*
	(34.69)*	(60.71)*	(91.60)*
Jan 1994 - Dec 1996	0.030	0.003	-0.020	- 5.161*
	(44.35)*	(57.73)*	(59.53)*
Jan 1997 – Dec 1999	0.002	-0.016	0.009	- 0.052
	(0.267)	(14.35)	(23.68)
Jan 2000 – Dec 2002	0.016	0.013	-0.107	- 2.962*
	(12.74)**	21.02	38.90*
Jan 2003 – Dec 2005	-0.037	-0.059	0.013	- 2.270**
	37.46*	55.30*	61.54*
Jan 2006 – Dec 2008	-0.011	0.026	-0.066	- 1.105
	4.81	24.02	31.58**
Jan 2009 – Dec 2011	-0.060	-0.006	-0.006	0.0367
	4.98	16.93	29.14
Jan 2012 – Mar 2013	0.000	0.005	0.017	-0.874
	2.69	14.66	21.51

The autocorrelation coefficient followed by Ljung-Box (LB) Q statistics in parenthesis are given in the table at lags 5, 15 and 20 for the full sample and subsample period. The null of LB is zero autocorrelation. The last column furnishes the Runs Z statistics. * and ** denote the significance level at 1% and 5% respectively.