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Future Business Journal

Table 12 Box–Jenkins (ARIMA) model

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

AR(1)

0.907484

3.926412

0.0001***

AR(1)

0.118593

0.638310

0.0033***

MA(1)

0.128063

0.561834

0.0000***

MA(1)

0.941298

22.37745

0.0000***

R2: 0.98194

R2: 0.774913

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