Reaction of stock market returns to COVID-19 pandemic and lockdown policy: evidence from Nigerian firms stock returns

Future Business Journal

Table 6 Lag order selection criteria

Lag	CD	J	J p-value	MBIC	MAIC	MQIC
1	0.9284	2026.934	0.0000	1802.86	1972.934	1912.662
2	0.9814	1968.718	0.0000	1819.335	1932.718	1892.537
3	0.9948	1595.188	0.0000	1520.496	1577.188	1557.097
4	0.9876	–	–	–	–	–

Using the pvarsoc, we generated the following – coefficient of determination (CD), the Hansen’s J statistic (J), with the corresponding probability value (J-P value) [19], the Bayesian information criterion (MBIC), the Akaike information criterion (MAIC), and Andrews and Lu [8]’s Quinn information criterion (MQIC)