BSE

BSER

22,000

.20
20,000

.15
18,000
16,000

.10

14,000

.05

12,000

.00

10,000

-.05
8,000

-.10

6,000
2005

2006

2007

2008

2009

2010

2011

2012

-.15
2005

2006

2007

2008

Null Hypothesis: BSE has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=25)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-1.154462
-3.433285
-2.862723
-2.567446

0.6959

t-Statistic

Prob.*

-45.00804
-3.433287
-2.862724
-2.567446

0.0001

*MacKinnon (1996) one-sided p-values.

Null Hypothesis: BSER has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=25)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.

2009

2010

2011

2012

Autocorrelation
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******
|*******

Partial Correlation
|*******
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30

AC

PAC

Q-Stat

Prob

0.997
0.994
0.991
0.988
0.985
0.982
0.979
0.976
0.973
0.970
0.968
0.965
0.962
0.959
0.956
0.953
0.950
0.947
0.945
0.941
0.938
0.935
0.932
0.929
0.925
0.922
0.919
0.915
0.912
0.908

0.997
-0.023
0.004
0.004
-0.010
0.000
-0.013
0.026
0.042
0.004
-0.001
0.016
-0.019
-0.027
-0.032
0.009
-0.016
0.019
-0.007
-0.023
-0.012
-0.022
0.010
-0.010
-0.019
0.000
-0.005
-0.007
-0.004
0.003

2078.6
4145.4
6200.4
8243.8
10275.
12296.
14304.
16300.
18287.
20264.
22231.
24188.
26135.
28072.
29998.
31913.
33816.
35709.
37591.
39461.
41319.
43166.
45000.
46823.
48634.
50433.
52219.
53994.
55756.
57506.

0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

Autocorrelation
|
|
|
|
|
|
|
|
|
|
|
|
|*
|*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|

|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|

Partial Correlation
|
|
|
|
|
|
|
|
|
|
|
|
|*
|*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|

|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30

AC

PAC

Q-Stat

Prob

0.014
-0.020
-0.006
-0.030
0.006
0.037
-0.021
-0.036
-0.019
-0.008
-0.022
0.044
0.076
0.076
-0.018
-0.013
-0.044
0.028
0.047
0.003
0.031
-0.031
0.002
0.007
0.020
0.022
0.013
-0.056
-0.023
-0.015

0.014
-0.020
-0.005
-0.031
0.007
0.035
-0.022
-0.035
-0.018
-0.007
-0.025
0.042
0.075
0.078
-0.018
-0.008
-0.040
0.027
0.038
0.003
0.042
-0.022
0.012
0.003
0.014
0.010
0.006
-0.056
-0.011
-0.011

0.4078
1.2208
1.2963
3.2344
3.3144
6.1273
7.0274
9.7145
10.492
10.640
11.702
15.849
27.834
39.860
40.539
40.912
44.900
46.544
51.184
51.200
53.190
55.268
55.275
55.386
56.193
57.247
57.627
64.334
65.485
65.972

0.523
0.543
0.730
0.519
0.652
0.409
0.426
0.286
0.312
0.386
0.386
0.198
0.010
0.000
0.000
0.001
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.001
0.000
0.000
0.000

Dependent Variable: BSER

Method: Least Squares
Date: 03/13/13 Time: 15:12
Sample (adjusted): 2/24/2005 2/22/2013
Included observations: 2087 after adjustments

D1
D2
D3
D4
D5
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

Coefficient

Std. Error

t-Statistic

Prob.

0.001202
0.000136
0.001614
0.000394
0.001306

0.000891
0.000891
0.000891
0.000890
0.000891

1.348594
0.152899
1.811048
0.442797
1.464896

0.1776
0.8785
0.0703
0.6580
0.1431

0.001713
-0.000205
0.015385
0.492789
5753.108
1.969765

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.000664
0.015383
-5.508489
-5.494968
-5.503535

From the following table, we can observe that the Wednesday mean returns is statistically significant
at 10 percent level of significance. Other weekday coefficients were found not to be statistically
significant at 10 percent level of significance. Durbin-watson stat is 1.96 which is closer to 2. 00 and
thus indicates absence of serial correlation in the residuals. But there exists conditional variance in
the residuals as indicated by the ARCH test. Since the ARCH TEST prob. Chi-square value is less than
0.05, there might exist heteroskedasticity among the residuals. Thus, GARCH(1,1) TEST was
conducted on the mean dummy variable equation.

Heteroskedasticity Test: ARCH

F-statistic
Obs*R-squared

5.589869
5.580266

Prob. F(1,2084)
Prob. Chi-Square(1)

0.0182
0.0182

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 03/13/13 Time: 15:14
Sample (adjusted): 2/25/2005 2/22/2013
Included observations: 2086 after adjustments
Coefficient

Std. Error

t-Statistic

Prob.

C
RESID^2(-1)

0.000224
0.051721

2.03E-05
0.021876

11.01443
2.364290

0.0000
0.0182

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.002675
0.002197
0.000898
0.001682
11674.00
5.589869
0.018156

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

0.000236
0.000899
-11.19079
-11.18538
-11.18881
2.005833

Dependent Variable: BSER

Method: ML - ARCH (Marquardt) - Normal distribution
Date: 03/13/13 Time: 15:16
Sample (adjusted): 2/24/2005 2/22/2013
Included observations: 2087 after adjustments
Convergence achieved after 14 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(6) + C(7)*RESID(-1)^2 + C(8)*GARCH(-1)

D1
D2
D3
D4
D5

Coefficient

Std. Error

z-Statistic

Prob.

0.002264
0.000586
0.001941
0.001567
0.001453

0.000453
0.000577
0.000523
0.000521
0.000547

4.996932
1.016001
3.712069
3.009031
2.654702

0.0000
0.3096
0.0002
0.0026
0.0079

7.009874
14.58239
190.2287

0.0000
0.0000
0.0000

Variance Equation
C
RESID(-1)^2
GARCH(-1)

1.84E-06
0.071246
0.924165

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

-0.000001
-0.003368
0.015409
0.493635
6134.628
1.968321

2.63E-07
0.004886
0.004858

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.000664
0.015383
-5.871229
-5.849596
-5.863303

Heteroskedasticity Test: ARCH

F-statistic
Obs*R-squared

0.365840
0.366127

Prob. F(1,2084)
Prob. Chi-Square(1)

0.5453
0.5451

Test Equation:
Dependent Variable: WGT_RESID^2
Method: Least Squares
Date: 03/13/13 Time: 15:18
Sample (adjusted): 2/25/2005 2/22/2013
Included observations: 2086 after adjustments

C
WGT_RESID^2(-1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

Coefficient

Std. Error

t-Statistic

Prob.

1.015249
-0.013249

0.064126
0.021905

15.83200
-0.604847

0.0000
0.5453

0.000176
-0.000304
2.752392
15787.67
-5070.918
0.365840
0.545346

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

1.001990
2.751973
4.863776
4.869186
4.865758
2.000842