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) |