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Table 5 Analysis showing testing for serial correlation and heteroscedasticity.

From: A cause and effect relationship between FIIs, DIIs and stock market returns in India: pre- and post-demonetization analysis

Variable Breusch–Godfrey Serial Correlation LM Test Breusch–Pagan–Godfrey Heteroscedasticity LM Test
Pre-demonetization Post-demonetization Pre-demonetization Post-demonetization
F statistic p value F statistic p value F statistic p value F statistic p value
LFIIGP 154.99 0.00 149.50 0.00 0.09 0.76 0.07 0.78
LFIIGS 150.54 0.00 148.68 0.00 0.17 0.68 0.06 0.80
LDIIGP 127.81 0.00 121.10 0.00 0.02 0.87 0.01 0.91
LDIIGS 148.52 0.00 141.84 0.00 0.03 0.05 0.01 0.94
LNIR 1.07 0.34 0.077 0.46 0.03 0.86 2.51 0.11
LNAIR 0.58 0.56 0.56 0.57 0.02 0.89 7.43 0.01
LNFSIR 1.43 0.23 1.27 0.28 0.12 0.73 2.71 0.10
LNFMCGIR 2.40 0.09 3.18 0.04 0.02 0.88 0.74 0.39
LNITIR 1.06 0.34 1.18 0.31 0.13 0.72 5.81 0.02
LNMEDIR 0.26 0.77 0.26 0.77 0.44 0.51 10.86 0.00
LNMETIR 0.56 0.57 0.57 0.57 0.06 0.80 19.61 0.00
LNPHIR 1.29 0.27 1.61 0.20 4.70 0.03 0.14 0.70
LNPSUBIR 0.56 0.57 0.44 0.64 0.01 0.92 0.56 0.45
LNPVTBIR 0.88 0.42 0.81 0.44 0.01 0.62 6.01 0.01
LNRIR 0.77 0.46 1.20 0.30 0.25 0.83 20.40 0.00
  1. LFIIGP FII Gross Purchase, LFIIGS FII Gross Sales, LDIIGP DII Gross Purchase, LDIIGS DII Gross Sales, LNIR Nifty 50 Index Returns, LNAIR Nifty Auto Index Returns, LNFSIR Nifty Financial Services Index Returns, LNFMCGIR Nifty FMCG Index Returns, LNITIR Nifty IT Index Returns, LNMEDIR Nifty Media Index Returns, LNMETIR Nifty Metal Index Returns, LNPHIR Nifty Pharma Index Returns, LNPSUBIR Nifty PSU Bank Index Returns, LNPVTBIR Nifty Private Bank Index Returns, LNRIR Nifty Realty Index Returns