Stocks Traded in All Periods: Nonparametric tests

The Kruskal-Wallis test is used to determine whether the four populations (groups of stocks) from which the parameter values are drawn are identical against the alternative that at least one of them differs. The Wilcoxon rank sum test compares two populations and indicates whether one of them tends to yield higher values. Statistics significant at 5% level are highlighted in bold.

IT: Wilcoxon Rank Sum Test
 

Decile

2

3

4-10

Period 1

1

1.535

0.578

1.631
 

2

  

0.667

1.121
 

3

    

1.556

Period 2

1

0.512

1.645

0.118
 

2

  

0.592

1.659
 

3

    

0.910

Period 3

1

0.876

0.489

2.089
 

2

  

0.981

1.223
 

3

    

0.133

All Data

1

0.029

1.422

0.578
 

2

  

0.133

0.306
 

3

    

0.489
 

Period

2

3

Decile 1

1

2.715

1.556
 

2

  

1.915

Decile 2

1

0.411

1.374
 

2

  

2.552

Decile 3

1

0.044

1.843
 

2

  

0.489

Deciles 4-10

1

0.815

0.815
 

2

  

0.306

All Deciles

1

0.741

0.748
 

2

  

1.707

 

PIT: Kruskal-Wallis Test

Test Deciles

Stat

P-value

Period 1

0.459

0.928

Period 2

1.527

0.676

Period 3

5.098

0.165

All Data

0.700

0.873

Test Time

Stat

P-value

Decile 1

249.781

0.000

Decile 2

87.120

0.000

Decile 3

1.218

0.544

Deciles 4-10

0.410

0.815

All Deciles

16.475

0.000

alpha (α): Kruskal-Wallis Test

Test Deciles

Stat

P-value

Period 1

2.579

0.461

Period 2

1.310

0.727

Period 3

2.466

0.481

All Data

1.747

0.627

Test Time

Stat

P-value

Decile 1

12.129

0.002

Decile 2

0.045

0.978

Decile 3

0.366

0.833

Deciles 4-10

28.471

0.000

All Deciles

8.954

0.011

delta (δ): Kruskal-Wallis Test

Test Deciles

Stat

P-value

Period 1

1.371

0.712

Period 2

0.051

0.997

Period 3

0.188

0.980

All Data

0.567

0.904

Test Time

Stat

P-value

Decile 1

8.130

0.017

Decile 2

4.913

0.086

Decile 3

0.200

0.905

Deciles 4-10

0.830

0.660

All Deciles

13.210

0.001