For Developed Markets

RET

SQR

ABS

Test statistic

2.004

45.5486

42.5659

Two-tailed p-value

0.075

5.928e−012

1.088e−011

One-tailed p-value

0.037

2.964e−012

5.438e−012

For Emerging Markets

Test statistic

3.85108

33.0184

27.5554

Two-tailed p-value

0.0039

1.056e−010

5.298e−010

One-tailed p-value

0.00195

5.278e−011

2.649e−010