Table 7 Runs tests # Observations # Runs...

Table 7

Runs tests

	# Observations	# Runs	Z	p-value
Australia	3,783	1822	−2.196	0.028**
Canada	3,762	1827	−1.635	0.102
France	3,840	1999	2.569	0.010***
Germany	3,810	1955	1.641	0.101
Hong Kong	3,698	1871	0.762	0.446
Israel	3,672	1813	−0.614	0.539
Japan	3,676	2065	7.490	6.9E-14***
Sweden	3,767	1950	2.186	0.029**
UK	3,789	1943	1.711	0.087
US	3,772	2013	4.304	1.7E-05***
Brazil	3,706	1798	−1.786	0.074*
Chile	3,737	1,650	−7.140	9.4E-13***
China	3,643	1805	−0.460	0.645
Greece	3,714	1,695	−5.216	1.8E-07***
India	3,705	1722	−4.183	2.9E-05***
Malaysia	3,690	1,660	−6.107	1.0E-09***
Mexico	3,760	1737	−4.517	6.3E-06***
Poland	3,733	1881	0.479	0.632
Russia	3,724	1837	−0.790	0.430
South Africa	3,736	1868	0.039	0.969

	# Observations	# Runs	Z	p-value
Australia	3,783	1822	−2.196	0.028**
Canada	3,762	1827	−1.635	0.102
France	3,840	1999	2.569	0.010***
Germany	3,810	1955	1.641	0.101
Hong Kong	3,698	1871	0.762	0.446
Israel	3,672	1813	−0.614	0.539
Japan	3,676	2065	7.490	6.9E-14***
Sweden	3,767	1950	2.186	0.029**
UK	3,789	1943	1.711	0.087
US	3,772	2013	4.304	1.7E-05***
Brazil	3,706	1798	−1.786	0.074*
Chile	3,737	1,650	−7.140	9.4E-13***
China	3,643	1805	−0.460	0.645
Greece	3,714	1,695	−5.216	1.8E-07***
India	3,705	1722	−4.183	2.9E-05***
Malaysia	3,690	1,660	−6.107	1.0E-09***
Mexico	3,760	1737	−4.517	6.3E-06***
Poland	3,733	1881	0.479	0.632
Russia	3,724	1837	−0.790	0.430
South Africa	3,736	1868	0.039	0.969

Note(s): The table summarises the results of the runs tests on the null hypothesis that the log returns of the index for each sampled country are generated in a random manner. The second and third columns show the number of observations and the number of runs in the time series respectively. The fourth column shows the z-statistic of the runs test. The last column denotes statistical significance with the p-value followed by ***, ** and * for the 99%, 95% and 90% levels respectively

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