Future Business Journal

Table 6 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)	0.534855	15.81380	0.0000***	AR(1)	0.198326	− 0.763118	0.0020***
MA(1)	0.287635	15.49531	0.0000***	MA(1)	0.026308	0.106040	0.0016***
R²: 0.767193				R²: 0.619880

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

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