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Table 4 McLeod-Li test statistics

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

Sample periods

AR (ρ)

LB (5)

LB (15)

LB (20)

McLeod-Li statistic

     

Lag 5

Lag 15

Lag 20

Sensex

Full sample

9

0.043

0.748

26.32

988.6*

2130.1*

2415.5*

  

(1.000)

(1.000)

(0.155)

(0.000)

(0.000)

(0.000)

Jan 1991 – Dec 1993

7

0.196

24.06

29.57

81.7*

238.0*

255.3*

  

(0.999)

(0.064)

(0.077)

(0.000)

(0.000)

(0.000)

Jan 1994 - Dec 1996

2

4.745

16.94

19.14

47.17*

97.49*

130.53*

  

(0.447)

(0.322)

(0.512)

(0.000)

(0.000)

(0.000)

Jan 1997 – Dec 1999

1

3.64

16.86

22.38

30.19*

41.84*

52.99*

  

(0.602)

(0.327)

(0.320)

(0.000)

(0.000)

(0.000)

Jan 2000 – Dec 2002

2

3.161

11.00

26.48

187.69*

296.07*

329.56*

  

(0.675)

(0.752)

(0.150)

(0.000)

(0.000)

(0.000)

Jan 2003 – Dec 2005

2

8.673

20.459

23.306

245.29*

263.26*

264.19*

  

(0.122)

(0.155)

(0.274)

(0.000)

(0.000)

(0.000)

Jan 2006 – Dec 2008

2

2.349

18.209

23.168

277.27*

590.73*

671.05*

  

(0.798)

(0.251)

(0.280)

(0.000)

(0.000)

(0.000)

Jan 2009 – Dec - 2011

1

6.263

18.81

23.67

4.712

29.28**

33.42**

  

(0.281)

(0.222)

(0.296)

(0.451)

(0.014)

(0.030)

Jan 2012 – Mar 2013

0

2.152

12.788

22.546

1.550

15.00

27.79

  

(0.827)

(0.618)

(0.311)

(0.907)

(0.451)

(0.114)

Nifty

Full sample

11

0.028

6.371

26.939

550.20*

964.60*

1066.23*

  

(1.000)

(0.972)

(0.137)

(0.000)

(0.000)

(0.000)

Jan 1994 - Dec 1996

2

5.813

19.919

21.824

69.38*

154.97*

185.82*

  

(0.324)

(0.175)

(0.350)

(0.000)

(0.000)

(0.000)

Jan 1997 – Dec 1999

0

0.267

14.356

23.686

23.72*

28.13**

49.47*

  

(0.998)

(0.498)

(0.256)

(0.000)

(0.020)

(0.000)

Jan 2000 – Dec 2002

2

1.429

7.764

22.700

108.87*

199.44*

220.53*

  

(0.921)

(0.932)

(0.303)

(0.000)

(0.000)

(0.000)

Jan 2003 – Dec 2005

2

8.715

21.42

28.444

286.24*

310.20*

311.07*

  

(0.157)

(0.321)

(0.099)

(0.000)

(0.000)

(0.000)

Jan 2006 – Dec 2008

2

1.593

19.37

26.913

232.57*

441.67*

489.24*

  

(0.902)

(0.197)

(0.137)

(0.000)

(0.000)

(0.000)

Jan 2009 – Dec - 2011

2

3.379

14.305

26.676

2.177

18.701

22.491

  

(0.641)

(0.502)

(0.144)

(0.824)

(0.227)

(0.314)

Jan 2012 – Mar 2013

0

2.697

14.663

21.516

2.667

16.101

30.169***

  

(0.746)

(0.475)

(0.367)

(0.751)

(0.375)

(0.067)

  1. The autocorrelation coefficient followed by The 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. *, ** and *** denote significance at 1%, 5% and 10% respectively.
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