Note(s): 1. This table presents the five-day 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| are statistically significant (different from 1)

2. The results strongly reject the null hypothesis of a random walk (Rank and Rank Score tests) or a martingale (Sign test) for all of the markets

3. We also ran the above tests in panel settings under the assumption that cross-sections are independent, with cross-section heterogeneity of the processes. The combined the p-values from cross-section results using the Fisher approach as in Maddala and Wu (1999) were all highly significant for both developed and emerging market panels