Stocks Traded Only in Periods 2 and 3: Nonparametric tests

PIT: Wilcoxon Rank Sum Test

 

Decile

2

3

4-10

Period 2

1

1.019

1.444

0.510

 

2

 

1.067

0.237

 

3

 

 

1.659

Period 3

1

0.500

1.758

2.178

 

2

 

1.821

1.223

 

3

 

 

0.306

All Data

1

0.427

0.653

0.578

 

2

 

1.067

0.306

 

3

 

 

1.470

Periods 2 vs. 3

 

Decile 1

0.531

Decile 2

1.487

Decile 3

0.565

Deciles 4-10

0.829

All Deciles

0.451

 

PIT: Kruskal-Wallis Test

Test Deciles

Stat

P-value

Period 2

3.462

0.326

Period 3

1.365

0.714

All Data

4.422

0.219

Test Time

Stat

P-value

Decile 1

0.349

0.555

Decile 2

0.195

0.659

Decile 3

5.110

0.024

Deciles 4-10

0.570

0.450

All Deciles

2.526

0.112

alpha (α): Kruskal-Wallis Test

Test Deciles

Stat

P-value

Period 2

12.455

0.006

Period 3

2.391

0.495

All Data

10.842

0.013

Test Time

Stat

P-value

Decile 1

8.298

0.004

Decile 2

0.939

0.333

Decile 3

0.000

0.983

Deciles 4-10

1.812

0.178

All Deciles

4.132

0.042

delta (δ): Kruskal-Wallis Test

Test Deciles

Stat

P-value

Period 2

4.719

0.194

Period 3

8.420

0.038

All Data

0.110

0.991

Test Time

Stat

P-value

Decile 1

2.023

0.155

Decile 2

0.087

0.768

Decile 3

0.413

0.520

Deciles 4-10

3.502

0.061

All Deciles

0.002

0.964