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Table 5 Tsay, Engle LM and H statistics

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

Sample period

AR (ρ)

Tsay F statistic

Engle LM statistic

H statistic

  

Lag 5

Lag 15

Lag 20

Lag 5

Lag 15

Lag 20

 

Sensex

Full sample

9

7.862*

3.613*

3.039*

564.1*

729.5*

758.2*

3760.9*

  

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

Jan 1991 – Dec 1993

7

2.837*

1.907*

1.786*

54.8*

101.2*

110.5*

405.6*

  

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

Jan 1994 - Dec 1996

2

1.858*

1.273**

1.282**

32.4*

50.5*

74.9*

139.7*

  

(0.000)

(0.041)

(0.016)

(0.000)

(0.000)

(0.000)

(0.000)

Jan 1997 – Dec 1999

1

2.436*

1.686*

1.457*

28.86*

37.5*

47.7*

183.9*

  

(0.001)

(0.000)

(0.000)

(0.000)

(0.001)

(0.005)

(0.000)

Jan 2000 – Dec 2002

2

2.396*

2.433*

2.168*

110.67*

138.8*

148.9*

364.8*

  

(0.002)

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

Jan 2003 – Dec 2005

2

6.609*

2.257*

1.910*

268.96*

272.2*

272.3*

721.7*

  

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

Jan 2006 – Dec 2008

2

4.734*

2.746*

2.667*

153.7*

179.4*

181.7*

680.9*

  

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

Jan 2009 – Dec - 2011

1

1.24

2.50*

2.483*

4.9

22.8

24.3

242.9*

  

(0.229)

(0.000)

(0.000)

(0.495)

(0.088)

(0.231)

(0.000)

Jan 2012 – Mar 2013

0

0.560

1.558*

1.073

1.6

13.3

25.8

52.8

  

(0.903)

(0.003)

(0.359)

(0.911)

(0.576)

(0.172)

(0.198)

Nifty

Full sample

9

6.240*

2.877*

2.427*

352.20*

425.36

437.38*

1848.41*

  

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

Jan 1994 - Dec 1996

2

1.509

1.583*

1.436*

50.21*

77.758

92.62*

158.67*

  

(0.095)

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

Jan 1997 – Dec 1999

0

2.842*

1.687*

1.295**

24.21*

27.85**

51.658*

157.77*

  

(0.000)

(0.000)

(0.011)

(0.000)

(0.022)

(0.000)

(0.000)

Jan 2000 – Dec 2002

2

1.852**

2.173*

1.949*

79.97*

126.46*

130.54*

380.80*

  

(0.024)

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

Jan 2003 – Dec 2005

2

6.757*

2.413*

1.985*

315.46*

320.34*

321.86*

799.69*

  

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

Jan 2006 – Dec 2008

2

5.583*

2.705*

2.459*

125.40*

152.41*

158.98*

663.08*

  

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

Jan 2009 – Dec - 2011

2

0.873

2.313*

2.268*

2.023

15.292

16.87

195.63*

  

(0.593)

(0.000)

(0.000)

(0.845)

(0.430)

(0.661)

(0.000)

Jan 2012 – Mar 2013

0

0.489

1.577*

1.181

2.931

14.672

27.786

56.255

  

(0.945)

(0.003)

(0.193)

(0.710)

(0.475)

(0.114)

(0.121)

  1. *,** denote 1% and 5% significance level.