Table 3 Results of joint rank, rank...

Table 3

Results of joint rank, rank score and sign tests based on daily returns

Market	Dof	MR1 max \|z\|	MR2 max \|z\|	MS max \|z\|
Australia	3,782	27.12	28.45	18.80
Canada	3,761	27.69	28.51	20.40
France	3,839	30.17	31.05	22.64
Germany	3,809	29.51	30.44	21.05
Hong Kong	3,697	28.05	29.50	20.94
Israel	3,606	27.38	28.83	19.58
Japan	3,675	33.20	34.59	23.61
Sweden	3,766	29.46	30.39	21.71
UK	3,788	29.61	30.57	21.41
US	3,771	29.70	31.25	20.63
Brazil	3,705	27.53	28.42	19.76
Chile	3,736	23.66	25.46	15.43
China	3,642	26.98	28.36	19.35
Greece	3,712	25.31	26.55	17.53
India	3,704	25.89	27.23	18.27
Malaysia	3,686	25.16	26.59	18.02
Mexico	3,758	24.77	25.89	18.01
Poland	3,732	26.92	27.89	18.33
Russia	3,723	27.21	28.41	18.57
South Africa	3,735	27.85	28.85	20.54

Market	Dof	MR1 max \|z\|	MR2 max \|z\|	MS max \|z\|
Australia	3,782	27.12	28.45	18.80
Canada	3,761	27.69	28.51	20.40
France	3,839	30.17	31.05	22.64
Germany	3,809	29.51	30.44	21.05
Hong Kong	3,697	28.05	29.50	20.94
Israel	3,606	27.38	28.83	19.58
Japan	3,675	33.20	34.59	23.61
Sweden	3,766	29.46	30.39	21.71
UK	3,788	29.61	30.57	21.41
US	3,771	29.70	31.25	20.63
Brazil	3,705	27.53	28.42	19.76
Chile	3,736	23.66	25.46	15.43
China	3,642	26.98	28.36	19.35
Greece	3,712	25.31	26.55	17.53
India	3,704	25.89	27.23	18.27
Malaysia	3,686	25.16	26.59	18.02
Mexico	3,758	24.77	25.89	18.01
Poland	3,732	26.92	27.89	18.33
Russia	3,723	27.21	28.41	18.57
South Africa	3,735	27.85	28.85	20.54

Note(s): 1. This table shows the daily return results of the Joint Rank (MR1), Rank Score (MR2) and Sign (MS) tests. Test probabilities are computed using permutation bootstrap. All the presented Max |z| values are statistically significant (different from 1)

2. The results strongly reject the null hypothesis of a random walk (rank and rank score tests) or the null hypothesis of a martingale (sign test) for all markets

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