Table 6 BDS test statistics
Sample period | AR (ρ) | m = 2, ϵ = 0.75s | m = 4, ϵ = 1.0s | m = 8, ϵ =1.25S | m = 10, ϵ = 1.50s |
|---|---|---|---|---|---|
Sensex | |||||
Full sample | 9 | 17.65* (0.000) | 27.88* (0.000) | 42.94*(0.000) | 44.24* (0.000) |
Jan 1991 – Dec 1993 | 7 | 3.74* (0.000) | 4.42*(0.000) | 6.33*(0.000) | 7.40*(0.000) |
Jan 1994 - Dec 1996 | 2 | 5.76* (0.000) | 8.24* (0.000) | 11.66* (0.000) | 12.21*(0.000) |
Jan 1997 – Dec 1999 | 1 | 3.00* (0.002) | 4.52* (0.000) | 6.30*(0.000) | 6.95* (0.000) |
Jan 2000 – Dec 2002 | 2 | 8.46*(0.000) | 13.08*(0.000) | 18.11*(0.000) | 19.20*(0.000) |
Jan 2003 – Dec 2005 | 2 | 3.85* (0.000) | 5.60* (0.000) | 9.01*(0.000) | 9.77* (0.000) |
Jan 2006 – Dec 2008 | 2 | 9.08* (0.000) | 14.26*(0.000) | 24.40*(0.000) | 23.56*(0.000) |
Jan 2009 – Dec - 2011 | 1 | 3.85* (0.000) | 7.40*(0.000) | 12.98* (0.000) | 14.11* (0.000) |
Jan 2012 – Mar 2013 | 0 | -0.71* (0.474) | 0.306* (0.759) | 1.893* (0.058) | 2.288* (0.022) |
Nifty | |||||
Full sample | 11 | 15.15* (0.000) | 23.89 (0.000) | 35.94 (0.000) | 37.65 (0.000) |
Jan 1994 - Dec 1996 | 2 | 5.322* (0.000) | 8.534* (0.000) | 11.33* (0.000) | 11.73* (0.000) |
Jan 1997 – Dec 1999 | 0 | 2.149* (0.031) | 4.081* (0.000) | 5.351* (0.000) | 5.808* (0.000) |
Jan 2000 – Dec 2002 | 2 | 8.08* (0.000) | 12.14* (0.000) | 15.28* (0.000) | 15.59* (0.000) |
Jan 2003 – Dec 2005 | 2 | 4.67* (0.000) | 6.43* (0.000) | 9.68* (0.000) | 10.89* (0.000) |
Jan 2006 – Dec 2008 | 2 | 8.63* (0.000) | 13.89* (0.000) | 23.71* (0.000) | 22.49* (0.000) |
Jan 2009 – Dec - 2011 | 2 | 3.73* (0.000) | 6.61* (0.000) | 12.02* (0.000) | 12.97* (0.000) |
Jan 2012 – Mar 2013 | 0 | -1.05 (0.292) | 0.288 (0.772) | 1.732 (0.083) | 2.905 (0.004) |