Future Business Journal

Table 1 LM test for serial correlation

From: Impact of market anomalies on stock exchange: a comparative study of KSE and PSX

KSE				PSX
Variables	Coefficients	t-statistics	Probability	Variables	Coefficients	t-statistics	Probability
D1	3.143523	2.92E−13	0.0000***	D1	1.074341	6.60E−14	0.0000***
D2	1.696332	− 1.57E−14	0.0000***	D2	7.365634	4.53E−15	0.0000***
D3	8.536229	− 0.793516	0.0025***	D3	7.584364	4.66E−14	0.0000***
D4	0.104725	0.009734	0.0022***	D4	0.042336	− 0.258312	0.0003***
D5	7.936333	− 7.37E−14	0.0000***	D5	0.006111	− 0.037283	0.0003***
F-statistic	546339.5	Prob. F(2,321)	0.0000***	F-statistic	1086.793	Prob. F(2,321)	0.0000***
Obs*R²	3699.456	Prob. Chi square(2)	0.0000***	Obs*R²	285.7934	Prob. Chi square(2)	0.0000***
R²: 0.996621				R²: 0.871321

*Denotes significance at 10 per cent, **significance at 5 per cent and ***significance at 1 per cent

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