Table 3 Linearity test of equity returns...

Table 3

Linearity test of equity returns

Equities	Teraesvirta's neural network test (TRS)
Equities	HFQ	MFQ	LFQ	RESID
DJAT	25.12**	0.09	12.46**	694.98**
DJIME	35.65**	0.53	1.11	7.02*
DJMENA	71.42**	2.08	4.76	15.88**
DJSAP	23.95**	0.12	7.48*	6256.40**
DJSE	39.18**	0.04	2.44	3707.20**
DJSEM	38.22**	0.09	0.01	33.95**
DJSEZ	20.24**	0.28	1.09	5715.50**
DJSNA	133.61**	0.36	5.95	538.45**
DJSUS	123.85**	0.13	1.98	403.76**
DJSW	79.07**	0.39	0.13	177.20**
DJSWD	80.84**	0.39	6.74*	3228.10**
S.PAA	19.14**	0.74	0.08	486.18**
S.PBRICT	59.79**	0.18	50.88**	4939.50**
S.PEA	4.11	0.11	26.14**	6569.90**
S.PFBMIS	19.61**	2.55	9.61**	6514.40**
S.PGBMI	118.74**	1.21	7.82*	1051.80**
S.PLABMI	160.58**	0.36	6.88*	4919.00**
S.PNA	46.19**	0.9	2.06	3620.40**
S.PPAFS	1.18	0.31	0.54	90.71**
S.PSSA	6.28*	0.01	2.11	3001.60**
NAMERICAI	129.79**	0.45	6.62*	0.02
NAREITs	41.64**	0.10	4.71	4.56
NASIAI	25.02**	0.15	5.11	944.81**
NBRICI	38.47**	0.11	1.30	1789.50**
NDMI	179.47**	5.52	2.41	5022.30**
NEMI	55.47**	0.12	12.56**	2120.70**
NEUROPI	2.78	0.62	53.21**	3702.60**
NEUROZI	17.15**	0.20	6.17*	286.98**
NGMCI	58.41**	0.32	2.82	10216.00**
NGVOLNDX	95.15**	1.15	0.07	2230.80**

Equities	Teraesvirta's neural network test (TRS)
Equities	HFQ	MFQ	LFQ	RESID
DJAT	25.12**	0.09	12.46**	694.98**
DJIME	35.65**	0.53	1.11	7.02*
DJMENA	71.42**	2.08	4.76	15.88**
DJSAP	23.95**	0.12	7.48*	6256.40**
DJSE	39.18**	0.04	2.44	3707.20**
DJSEM	38.22**	0.09	0.01	33.95**
DJSEZ	20.24**	0.28	1.09	5715.50**
DJSNA	133.61**	0.36	5.95	538.45**
DJSUS	123.85**	0.13	1.98	403.76**
DJSW	79.07**	0.39	0.13	177.20**
DJSWD	80.84**	0.39	6.74*	3228.10**
S.PAA	19.14**	0.74	0.08	486.18**
S.PBRICT	59.79**	0.18	50.88**	4939.50**
S.PEA	4.11	0.11	26.14**	6569.90**
S.PFBMIS	19.61**	2.55	9.61**	6514.40**
S.PGBMI	118.74**	1.21	7.82*	1051.80**
S.PLABMI	160.58**	0.36	6.88*	4919.00**
S.PNA	46.19**	0.9	2.06	3620.40**
S.PPAFS	1.18	0.31	0.54	90.71**
S.PSSA	6.28*	0.01	2.11	3001.60**
NAMERICAI	129.79**	0.45	6.62*	0.02
NAREITs	41.64**	0.10	4.71	4.56
NASIAI	25.02**	0.15	5.11	944.81**
NBRICI	38.47**	0.11	1.30	1789.50**
NDMI	179.47**	5.52	2.41	5022.30**
NEMI	55.47**	0.12	12.56**	2120.70**
NEUROPI	2.78	0.62	53.21**	3702.60**
NEUROZI	17.15**	0.20	6.17*	286.98**
NGMCI	58.41**	0.32	2.82	10216.00**
NGVOLNDX	95.15**	1.15	0.07	2230.80**

Note(s): [*; **] show significance levels at respectively 5 and 1%

Source(s): Table by authors

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