Table 2 Chow–Denning joint variance...

Table 2

Chow–Denning joint variance ratio test results based on daily returns

Market	Dof	Homoscedasticity robust test statistics max \|z\|		Heteroscedasticity robust test statistics max \|z\|
Market	Dof	Panel A	Panel B	Panel A	Panel B
Australia	3,782	30.22	30.22	10.03	10.03
Canada	3,761	28.57	28.57	10.00	10.00
France	3,839	30.85	30.85	14.18	14.18
Germany	3,809	29.99	29.99	15.15	15.15
Hong Kong	3,697	30.93	30.93	11.75	11.75
Israel	3,606	29.44	29.44	15.47	15.47
Japan	3,675	34.00	34.00	17.00	17.00
Sweden	3,766	30.31	30.31	14.52	14.52
UK	3,788	29.86	29.86	13.04	13.04
US	3,771	31.73	31.73	11.39	11.39
Brazil	3,705	28.62	28.62	13.55	13.55
Chile	3,736	26.91	26.91	11.08	11.08
China	3,642	28.84	28.84	16.00	16.00
Greece	3,712	26.85	26.85	13.96	13.96
India	3,704	27.08	27.08	13.57	13.57
Malaysia	3,686	26.76	26.76	12.14	12.14
Mexico	3,758	25.91	25.91	12.39	12.39
Poland	3,732	27.79	27.79	16.84	16.84
Russia	3,723	29.06	29.06	11.01	11.01
South Africa	3,735	28.94	28.94	16.21	16.21

Market	Dof	Homoscedasticity robust test statistics max \|z\|		Heteroscedasticity robust test statistics max \|z\|
Market	Dof	Panel A	Panel B	Panel A	Panel B
Australia	3,782	30.22	30.22	10.03	10.03
Canada	3,761	28.57	28.57	10.00	10.00
France	3,839	30.85	30.85	14.18	14.18
Germany	3,809	29.99	29.99	15.15	15.15
Hong Kong	3,697	30.93	30.93	11.75	11.75
Israel	3,606	29.44	29.44	15.47	15.47
Japan	3,675	34.00	34.00	17.00	17.00
Sweden	3,766	30.31	30.31	14.52	14.52
UK	3,788	29.86	29.86	13.04	13.04
US	3,771	31.73	31.73	11.39	11.39
Brazil	3,705	28.62	28.62	13.55	13.55
Chile	3,736	26.91	26.91	11.08	11.08
China	3,642	28.84	28.84	16.00	16.00
Greece	3,712	26.85	26.85	13.96	13.96
India	3,704	27.08	27.08	13.57	13.57
Malaysia	3,686	26.76	26.76	12.14	12.14
Mexico	3,758	25.91	25.91	12.39	12.39
Poland	3,732	27.79	27.79	16.84	16.84
Russia	3,723	29.06	29.06	11.01	11.01
South Africa	3,735	28.94	28.94	16.21	16.21

Note(s): 1. This table presents daily return results of Chow–Denning tests (test of Martingale hypothesis). Results for developed markets are shown on the top, whilst those for emerging markets are shown below

2. The presented statistics are Max |z| with probability approximation using studentized maximum modulus with parameter value 4 and infinite degrees of freedom

3. All the test statistics are statistically significant (different from 1), using a critical value of 2.49 (panel A) and using the confidence intervals calculated with the Wild Bootstrapping method (panel B). The results strongly reject the null hypothesis of a martingale across all markets

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