Future Business Journal

Table 10 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	Prob.	Variables	Coefficients	t-statistics	Prob.
D1	5.444643	− 1.60E−15	0.0000***	D1	1.446752	4.09E−15	0.0000***
D2	1.765673	− 5.00E−15	0.0000***	D2	3.236244	0.000000	0.0000***
D3	1.313464	3.73E−15	0.0000***	D3	2.325447	0.000000	0.0000***
D4	1.346425	− 3.88E−16	0.0000***	D4	3.462563	0.000000	0.0000***
D5	358.9395	− 1.018026	0.0001***	D5	2.023264	5.82E−15	0.0000***
D6	12.03772	0.034041	0.0029***	D6	2.134622	− 6.11E−16	0.0000***
D7	7.815374	− 2.22E−16	0.0000***	D7	1.353473	3.87E−15	0.0000***
D8	8.854663	2.50E−16	0.0000***	D8	1.352626	− 0.024961	0.0024***
D9	4.484742	1.27E−15	0.0000***	D9	3.463732	− 0.006133	0.0037***
D10	8.235744	− 2.34E−15	0.0000***	D10	2.464647	0.000000	0.0000***
D11	5.054744	− 1.44E−15	0.0000***	D11	4.273462	0.000000	0.0000***
D12	1.476748	4.16E−15	0.0000***	D12	3.462263	0.000000	0.0000***
F-statistic	1139.986	Prob. F(2,167)	0.0000***	F-statistic	0.006807	Prob. F(2,2)	0.0002***
Obs*R²	168.6472	Prob. Chi square(2)	0.0000***	Obs*R²	0.108171	Prob. Chi square(2)	0.0004***
R²: 931752				R²: 0.676123

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

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