1

ARE STOCK RETURNS TIME REVERSIBLE?

INTERNATIONAL EVIDENCE FROM FREQUENCY DOMAIN TESTS

Kian-Ping Lim, Robert D. Brooks and Melvin J. Hinich

Abstract
This paper first introduces the trispectrum-based time reversibility test to complement
its bispectrum counterpart introduced earlier in extant literature. Using these frequency
domain tests, we then examine whether the returns series of major stock market indices
in 48 countries are time reversible. The results consistently show that time irreversibility
is the rule rather than the exception for stock market indices. Further investigation on
the sources of time irreversibility by applying the bispectrum-based Gaussianity and
linearity tests on the original returns series reveals that the rejections in most cases are
due to nonlinearity. Implications of the findings are discussed in the paper.

Keywords: Time reversibility; Bispectrum; Trispectrum; Stock returns.

Electronic copy available at: http://ssrn.com/abstract=1320165

 2

1. Introduction

A time series is said to be time reversible if the probabilistic structure of the series going
forward is identical to that in reverse time; otherwise, it is time irreversible. In the literature,
the issue of time reversibility was not given much attention in time series analysis. Lawrance
(1991) attributed this to the dominance of standard Gaussian autoregressive moving-average
(ARMA) models in time series modelling, due largely to the work of Box and Jenkins (1976).
However, Lawrance (1991) also argued that time reversibility deserves wider recognition
given its implications to time series modelling and forecasting. For instance, if the past data
are time irreversible, then it does not make sense to forecast with a time series model that is
reversible such as a Gaussian ARMA model. The first formal definition of time reversibility
was generally credited to Brillinger and Rosenblatt (1967), in which a time series  x(t ) is
time reversible if for every positive integer n, and every t1 , t2 ,...tn  R, and all n  N, the
vectors  x(t1 ), x(t2 ),...x(tn ) and  x(-t1 ), x(-t2 ),...x(-tn ) have the same joint probability
distributions, where R and N denote the set of real numbers and the set of natural numbers
respectively. Brillinger and Rosenblatt (1967) further suggested that a strictly stationary time
series is time reversible if and only if the imaginary parts of all the higher-order spectra are
identically zero. Other suggestions for testing time reversibility were alluded to in Weiss
(1975), Cox (1981), Keenan (1987) and Lawrence (1991), but none took the further step to
develop a statistical test for addressing the practical concern of whether time irreversibility
exists in real data.

From the above definition of time reversibility, an independently and identically distributed
(i.i.d.) process is obviously time reversible. All stationary Gaussian processes are also time
reversible (see Theorem 1 of Weiss, 1975). However, the contrary is not necessary true.1
Weiss (1975) proved that discrete-time stationary ARMA processes with an autoregressive
component are reversible if and only if they are Gaussian. The time-reversible non-Gaussian
ARMA processes are sub-classes of pure moving-average processes with symmetric or skew-
symmetric constraints on the coefficients. Hallin et al. (1988) extended this result to the case
of general linear processes under some conditions (see also Breidt and Davis, 1991; Cheng,
1999). It is clear then that testing for time reversibility is not equivalent to testing for
Gaussianity. Within the context of stationary processes, time irreversibility can stem from
two sources: (1) the underlying model may be nonlinear even though the innovations are
symmetrically distributed; (2) the underlying innovations may be drawn from a non-Gaussian
probability distribution while the model is linear. It is important to note that testing for time
irreversibility is not equivalent to a test of nonlinearity, even though most interesting
nonlinear stochastic processes (such as self-exciting threshold autoregressive, exponential
GARCH and smooth transition autoregressive) are time irreversible. There exist stationary
nonlinear time processes that are time reversible (see, for example, McKenzie, 1985; Lewis et
al., 1989; Rao et al., 1992).

1
Similarly, time irreversible processes are non-Gaussian but the contrary is not necessarily true. A non-
Gaussian linear process can be time reversible when it satisfies certain conditions (see Theorem 2 of Cheng,
1999). Giannakis and Tsatsanis (1994) pointed out that any non-Gaussian i.i.d. process is time reversible. Hinich
and Rothman (1998) noted that non-Gaussian i.i.d. processes lead to rejections of Hinich (1982) Gaussianity test
but fail to reject the null hypothesis in their frequency-domain time reversibility test, since all i.i.d. processes are
time reversible.

Electronic copy available at: http://ssrn.com/abstract=1320165

 3

The objective of this paper is to formally test whether the returns series of world stock
markets are time reversible using bispectrum- and trispectrum-based time reversibility tests.
Our major contributions are at least threefold. Firstly, Hinich and Rothman (1998) developed
a frequency-domain test based on the bispectrum which is the double Fourier transform of the
third-order cumulant function. The test exploits the property that the imaginary part of all
polyspectra is zero for time reversible stochastic processes, originally advocated in Brillinger
and Rosenblatt (1967). However, the bispectrum-based time reversibility test is not
exhaustive, since it is possible that the null hypothesis of time reversibility cannot be rejected
even though the process is time irreversible. One such example is when the process is non-
Gaussian but symmetrically distributed. The natural extension would be to turn to the next
polyspectral measure, the trispectrum, which is the triple Fourier transforms of the fourth-
order cumulant function.2 We generalize from the earlier work of Dalle Molle and Hinich
(1995) and present the trispectrum-based time reversibility test. Secondly, most of the earlier
studies focused on the time reversibility of macroeconomic time series (see, for example,
Ramsey and Rothman, 1996; Hinich and Rothman, 1998; Andreano and Savio, 2002;
Belaire-Franch and Contreras, 2002; Psaradakis and Sola, 2003; Cook and Speight, 2006,
2007; Speight and Thompson, 2006), while relatively few on financial time series (Rothman,
1994; Chen et al., 2000; Chen and Kuan, 2002; Chen, 2003; Racine and Maasoumi, 2007;
Jirasakuldech et al., 2008). Even among those studies on stock returns series, the market
coverage is limited with the most been six (Germany, Hong Kong, Japan, Switzerland,
Taiwan and the U.S.) by Chen et al. (2000). We extend the literature to include the stock
markets of 48 countries. Thirdly, in cases where the null hypothesis of time reversibility is
rejected, we proceed to identify the sources of rejection, so as to shed some light on whether
the series under study is best modelled by non-Gaussian ARMA models or some types of
nonlinear models.

The plan of this paper is as follows. Section 2 introduces the bispectrum-based and
trispectrum-based time reversibility tests. Following that, a brief description of the data is
given. Section 4 presents the empirical results along with the analysis. The final section
concludes the paper.

2. Methodology

2.1 Bispectrum-based time reversibility test

This section provides a brief description of the bispectrum-based time reversibility test
developed by Hinich and Rothman (1998) which exploits the property that the imaginary part
of the bispectrum is zero for time reversible stochastic processes.

Let  x(t ) be a zero-mean real-valued stationary time series. The third-order cumulant
function of  x(t ) in the time-domain is defined as Cxxx  1 , 2   E  x  t  x  t   1  x  t   2  
where  2   1 and  1  0,1, 2,...

2
In the signal processing literature, Giannakis and Tsatsanis (1994) developed the time-domain tests for time
reversibility using differences of sample cumulants of third- and fourth-orders. For basic principles of
bispectrum and trispectrum, see for example Collis et al. (1998).
 4

The bispectrum in the frequency-domain is the double Fourier transform of the third-order
cumulant function. More specifically, the bispectrum at frequency pair  f1 , f 2  denoted as
Bxxx  f1 , f 2  , is the double Fourier transform of Cxxx  1 , 2  in the principal domain
 B   f1 , f 2  : 0  f1  0.5, f 2  f1 , 2 f1  f 2  1 , and can be expressed as follows:

 
Bxxx  f1 , f 2     C  ,  exp i2π  f 
1   2 
xxx 1 2 1 1  f 2 2   (1)

Hinich (1982) outlined an approach that yields a consistent estimator of the bispectrum.
Suppose we have a sample of N observations  x 1 ,...x  N  that we partition into P  N / L
non-overlapping frames of length L where the last frame is discarded if it has less than L
observations. The discrete Fourier frequencies and the resolution bandwidth are defined as
f k  k L and   1 L respectively.

For the pth frame of length L, where p  1, 2,...P, calculate:

Y  f k1 , f k 2   X  f k1  X  f k 2  X *  f k1  f k 2  / L (2)

L 1

 
where X  f k    x t   p  L   exp i 2 f k t   p  L   and asterisk denotes the complex
t 0
conjugate.

Let Bˆ xxx  f k1 , f k 2  denote a smoothed estimator of the bispectrum Bxxx  f1 , f 2  . Bˆ xxx  f k1 , f k 2 

is obtained by averaging over the values of Y  f k1 , f k 2  L across the P frames. Hinich (1982)
showed that Bˆ  f , f  is a consistent and asymptotically complex normal estimator of the
xxx k1 k2

bispectrum if the sequence  f k1 , f k 2  converges to  f1 , f 2  .

The large sample variance of Bˆ xxx  f k1 , f k 2  is:

 2  1 N  2  S x  f k1  S x  f k 2  S x  f k1  f k 2  , (3)

where S x  f  is defined as a consistent and asymptotically normal estimator of the power

spectrum, which is the Fourier transform of the second-order moment, at frequency f and 
is the resolution bandwidth defined earlier.

The normalized bispectral estimate is:

Bˆ xxx  f k1 , f k 2 
AB  f k 1 , f k 2   (4)

 5

Let Im AB  f k1 , f k 2  denote the imaginary part of AB  f k1 , f k 2  . The bispectrum-based time

reversibility test statistic is defined as:

 Im A  f , fk 2 
2
Bispectrum TR = B k1 (5)
 k1 ,k2 D

where D   k1 , k2  :  f k1 , f k 2    B  .

Under the null hypothesis of time reversibility, the imaginary part of the bispectrum is zero,
i.e. Im Bxxx  f1 , f 2   0 for all bifrequencies. Hinich and Rothman (1998) showed that the
bispectrum-based time reversibility test is distributed central chi-squared with M  L2 16
degrees of freedom.

2.2 Trispectrum-based time reversibility test

As noted earlier, the bispectrum-based time reversibility test is not exhaustive, and the natural
extension would be to go to the next polyspectral measure after the bispectrum, which is the
trispectrum. Dalle Molle and Hinich (1995) presented the geometry of the trispectrum’s
principal domain T and the estimation procedure, statistical assumptions and the
asymptotic properties required to obtain consistent estimates of the trispectrum over the
principal domain. This forms the basis for the development of the fourth-order
generalizations of the time reversibility test in this paper, which exploits the property that the
imaginary part of the trispectrum is zero for time reversible stochastic processes.

The trispectrum is the triple Fourier transform of the fourth-order cumulant function. More
specifically, the trispectrum at frequency triple ( f1 , f 2 , f3 ) denoted as Txxxx ( f1 , f 2 , f3 ), is the
triple Fourier transform of Cxxxx ( 1 , 2 , 3 ) in the principal domain, and can be expressed as
follows:

  
Txxxx ( f1 , f 2 , f3 )    C
1   2   3 
xxxx (1 , 2 , 3 ) exp[i 2π( f11  f 2 2  f3 3 )] (6)

Dalle Molle and Hinich (1995) presented a frame-averaging procedure for the estimation of
the trispectrum, similar to the bispectrum case. As with the bispectrum estimate, the data with
N observations is divided into P  N / L non-overlapping frames of length L.

The fourth-order periodogram in the principal domain is:

Y  f k1 , f k 2 , f k 3   X  f k1  X  f k 2  X  f k 3  X  LB  f k1  f k 2  f k 3  L (7)

The Dalle Molle and Hinich (1995) trispectrum estimate is a simple equally weighted average

Txxxx  f k1 , f k 2 , f k 3  , of the Y  f k1 , f k 2 , f k 3  across the P frames. This estimate is a consistent
and asymptotically normal estimator of the trispectrum Txxxx  f1 , f 2 , f 3  , if the frame length is
less than the cube root of the sample size N.
 6

The large sample variance of the trispectrum is:

 2  1 3 N  S x  f k1  S x  f k 2  S x  f k 3  S x*  f k1  f k 2  f k 3  , (8)

and  is the resolution bandwidth defined as   1 L .

The normalized estimated trispectrum is:


Txxxx  f k1 , f k 2 , f k 3 
AT  f k1 , f k 2 , f k 3   (9)


The trispectrum-based time reversibility test statistic is defined as:

 Im A  f , fk 2 , fk 3 
2
Trispectrum TR = T k1 (10)
 k1 ,k2 ,k3 D

where D   k1 , k2 , k3  :  f k1 , f k 2 , f k 3   T .

The Hinich and Rothman (1998) bispectrum-based time reversibility test is extended to the
fourth-order using the trispectral estimates. Under the null hypothesis of time reversibility,
the imaginary part of the trispectrum is zero, i.e. Im Txxxx  f1 , f 2 , f3   0 for all trifrequencies.
The trispectrum-based time reversibility test statistic is asymptotically distributed under the
null hypothesis as a central chi-squared variate with M T degrees of freedom, where M T is
the number of frequency triples in the principal domain.3

3. The stock market data

We collect indices at daily frequency for 23 developed and 25 emerging stock markets, using
the market status categorized by Standard & Poor’s Global Stock Markets Factbook 2006.
The closing prices for the major stock index in each market, denominated in their respective
local currency units, were collected from DATASTREAM. We use a common sample period
for all markets, commencing from 1 January 1996 and ending in 31 December 2006. For our
empirical analysis, the data are transformed into a series of continuously compounded
percentage returns by taking 100 times the log price relatives, i.e. rt  100  ln  pt pt 1  ,
where pt is the closing price of the index on day t , and pt 1 the price on the previous trading
day. This sample period of 11 years yields a total of 2870 daily returns series for each market.
Table 1 provides the information on the major index selected for each market and their
respective DATASTREAM code.

<<Insert Table 1 about here>>

3
This number is computed in the TRISPEC program written by Melvin J. Hinich and available on his webpage
http://web.austin.utexas.edu/hinich/.
 7

4. Empirical results

The bispectrum- and trispectrum-based time reversibility test statistics in this study are
computed using the BISPEC and TRISPEC programs respectively, both coded in
FORTRAN.4 Instead of reporting the test statistics as chi-square variates, the programs
transform the computed statistics to p-values based on the appropriate chi square cumulative
distribution value, since it is a simple and informative way of summarizing the results of
statistical test. We first apply the bispectrum-based time reversibility test on the selected
stock indices, setting the resolution bandwidth to 30 which yields a bandwidth frame
exponent of 0.43.5 Given that the time reversibility test is only asymptotically justified,
Hinich and Rothman (1998) explored the finite sample properties of the bispectrum-based
test through Monte-Carlo simulation and established that the test is well behaved at the
sample size of 414 considered in their empirical applications. With relatively large sample
sizes in this study, chances are remote that rejections obtained with the bispectrum time
reversibility test are spurious due to size distortions. Unlike the results of Hinich and
Rothman (1998) where the bispectrum-based test cannot reject the null hypothesis of time
reversibility for some macroeconomic time series in their sample, the first columns of Table 2
and 3 consistently show that all the emerging and developed stock market indices under study
are time irreversible. It is important to note that if the null hypothesis is rejected by the
bispectrum-based test, then there is strong support for time irreversibility. Further analysis
using the trispectrum-based test is warranted only when the bispectrum test cannot reject the
null hypothesis of time reversibility.6 Though unnecessary, to complete the analysis, this
study also performs the trispectrum-based time reversibility test on the data, with the results
for developed and emerging markets presented in the second columns of Table 2 and 3
respectively. In all cases, the trispectrum test strongly rejects the null hypothesis that the
imaginary part of the estimated trispectrum is equal to zero. Hence, our empirical findings
show that, unlike macroeconomic time series, time irreversibility is the rule rather than the
exception for stock market indices.

<<Insert Table 2 about here>>

<<Insert Table 3 about here>>

4
These FORTRAN programs written by Melvin J. Hinich can be downloaded from
http://web.austin.utexas.edu/hinich/.
5
The condition for consistency of bispectrum estimates is violated if the exponent is greater than 0.50 (see
Hinich, 1982).
6
This is because the bispectrum test has no power against non-Gaussian symmetrically distributed process that
is time irreversible. In the case of non-rejection by the bispectrum test, if the null of time reversibility still
cannot be rejected by the trispectrum-based test, then there is strong evidence that the underlying process is
indeed time reversible.
 8

As mentioned earlier, an independently and identically distributed process is time reversible,

thus testing for time reversibility is one of the possible ways to examine the random walk
behaviour of stock prices (see Rothman, 1994; Jirasakuldech et al., 2008). In extant empirical
literature, the weak-form market efficiency has been tested within the framework of the
random walk hypothesis as defined by Fama (1970), using conventional statistical tests such
as the serial correlation test, runs test, variance ratio tests, spectral analysis and unit root tests
(for a review, see Campbell et al., 1997).7 It is clear then that the strong evidence of
irreversibility in all the returns series indicate significant deviations from independent and
identically distributed behaviour and hence stock prices do not follow a random walk. The
present findings of time irreversibility do have implications on the adequacy of commonly
used financial models that assume i.i.d. returns, such as the Black-Scholes option pricing
model and the capital asset pricing model. In particular, it indicates model mis-specification
from an econometric point of view. On the other hand, the evidence implies that the returns
series cannot be modelled by Gaussian ARMA models. Instead, they need to be modelled by
non-Gaussian ARMA models or some types of nonlinear models.

To shed some light on the above issue, we proceed to identify the sources of time
irreversibility: (1) the underlying model may be nonlinear even though the innovations are
symmetrically (perhaps normally) distributed; (2) the underlying innovations may be drawn
from a non-Gaussian probability distribution while the model is linear. Cook and Speight
(2006, 2007) and Speight and Thompson (2006) are among the few earlier studies that have
taken this extra step, applying the time-domain test of Ramsey and Rothman (1996) to the
residuals of a linear model fitted to the raw data. However, the AR(p) fit used for pre-
whitening is a causal filter, and the residuals will be time irreversible since the phase function
is not zero, irrespective of whether the returns series are reversible or irreversible (see Hinich
et al., 2006). Given the above limitation, we instead apply the Hinich (1982) bispectrum-
based Gaussianity and linearity tests on the original returns series in order to identify the
sources of rejection by the bispectrum-based time reversibility test.8 Unlike other nonlinearity
tests where data pre-whitening is necessarily to remove any linear structure from the data (see
Patterson and Ashley, 2000), the bispectrum test provides a direct test for nonlinearity,
irrespective of any linear serial dependence that might be present. Ashley et al. (1986)
presented an equivalence theorem to prove that the Hinich bispectrum test is invariant to
linear filtering of the data, and hence can in principle be applied directly to the original
returns series. The results presented in the final two columns of Table 2 and 3 reveal that
most indices are best modelled by nonlinear time series models. For developed stock markets
in Australia, Austria, Canada, Denmark, Finland, France, Italy, Japan and United States, non-
Gaussian ARMA models are sufficient. These linear models are appropriate for emerging
stock markets in Argentina, Czech Republic, the Philippines, Poland, South Korea and
Taiwan, at least for the selected sample period.

7
The logic behind the idea that efficient prices should follow a random walk, according to Malkiel (2005), is
that if the flow of information is unimpeded and information is immediately reflected in stock prices,
tomorrow’s price changes will reflect only tomorrow’s news and will be independent of price changes today.
But true news is by definition unpredictable, thus resulting price changes must be unpredictable and random. In
fact, the origin of the EMH is generally traced back to the landmark work of Samuelson (1965), who has been
widely credited for giving academic respectability for the random walk hypothesis. Specifically, Samuelson
(1965) demonstrated that in an informationally efficient market, price changes must be unforecastable if they
fully incorporate the expectations and information of all market participants.
8
The BISPEC program used earlier for testing time reversibility simultaneously tests for the hypotheses of
Gaussianity and linearity.
 9

5. Conclusion

Unlike the notion of Gaussianity and nonlinearity, testing for time reversibility in economics
and financial time series has received relatively less attention in the empirical literature. This
could possibly due to the dominance of Gaussian ARMA models in time series modelling,
and the lack of formal statistical test for time reversibility. After Ramsey and Rothman
(1996) introduced the concept of time reversibility to the economics literature, there has been
an increasing interest in this subject matter. Theoretically, a number of new statistical tests
for time reversibility were proposed since then (Hinich and Rothman, 1998; Chen et al.,
2000; Chen, 2003; Racine and Maasoumi, 2007). This has spawned a number of empirical
studies, particularly in addressing the issue of business cycle asymmetry. The empirical
applications in the financial context are rather scarce, mainly by the developers of the tests.
Motivated by the gap in extant literature, this paper first introduces the trispectrum-based
time reversibility test to complement the bispectrum test of Hinich and Rothman (1998).
Using these frequency domain tests, we then examine whether the returns series of major
stock market indices in 48 countries are time reversible. The results consistently show that
time irreversibility is the rule rather than the exception for stock market indices. Further
application of the Hinich (1982) bispectrum-based Gaussianity and linearity tests on the
original returns series reveals that the rejections in most cases are due to nonlinearity.

There are at least three implications that can be drawn from our results. First, the strong
evidence of irreversibility in all the returns series indicate significant deviations from
independent and identically distributed behaviour and hence stock prices do not follow a
random walk. Second, the results rule out linear models with Gaussian distribution for all
markets, at least for the sample period under study. Instead, the returns series for most
markets are best modelled by nonlinear time series models. For the exceptional few markets,
non-Gaussian ARMA models are sufficient. Third, the evidence suggests the inadequacy of
some commonly used financial models that assume i.i.d. returns, such as the Black-Scholes
option pricing model and the capital asset pricing model.

Acknowledgement

The authors would like to thank Philip Rothman and Yi-Teng Chen for those enlightening
discussion on empirical issues related to time reversibility, Alan Speight for sending his
papers before appear in print, and May-Lee Wee for her technical assistance related to the
DATASTREAM database.

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 Table 1: Data Sources for Selected World Stock Markets

Developed Markets Emerging Markets

Country Market Index Datastream Code Country Market Index Datastream Code

Australia ASX All Ordinaries ASXAORD Argentina Argentina Merval ARGMERV

Austria Austrian Traded Index ATXINDX Brazil Brazil Bovespa BRBOVES
Belgium BEL20 BGBEL20 Chile Chile General (IGPA) IGPAGEN
Canada S&P/TSX Composite TTOCOMP China Shanghai SE Composite CHSCOMP
Denmark OMX Copenhagen 20 DKKFXIN Czech Republic Prague SE PX CZPXIDX
Finland OMX Helsinki (OMXH) HEXINDX Egypt Egypt EFG EGHREFG
France France CAC 40 FRCAC40 Hungary Budapest (BUX) BUXINDX
Germany DAX 30 DAXIDXI India BSE 100 National IBOMBSE
Greece ATHEX Composite GRAGENL Indonesia Jakarta SE Composite JAKCOMP
Hong Kong Hang Seng HNGKNGI Israel TA-100 ISTA100
Ireland Ireland SE Overall (ISEQ) ISEQUIT Jordan Amman SE Financial Market AMMANFM
Italy Milan Mibtel MIBTELI Malaysia KLCI Composite KLPCOMP
Japan Tokyo Price Index (TOPIX) TOKYOSE Mexico Mexico IPC (BOLSA) MXIPC35
Netherlands AEX Index AMSTEOE Pakistan Karachi SE 100 PKSE100
New Zealand NZX All NZSEALL Peru Lima SE General (IGBL) PEGENRL
Norway Oslo SE OBX OSLOOBX Philippines Philippine SE Composite PSECOMP
Portugal PSI-20 POPSI20 Poland Warsaw General POLWIGI
Singapore Straits Times SNGPORI Russia Russian RTS RSRTSIN
Spain Madrid SE General MADRIDI South Africa FTSE/JSE All Share JSEOVER
Sweden OMX Stockholm 30 SWEDOMX South Korea Korea SE Composite (KOSPI) KORCOMP
Switzerland Swiss Market SWISSMI Sri Lanka Colombo SE All Share SRALLSH
United Kingdom FTSE 100 FTSE100 Taiwan Taiwan SE Weighted TAIWGHT
United States S&P 500 Composite S&PCOMP Thailand Bangkok S.E.T BNGKSET
Turkey ISE National 100 TRKISTB
Venezuela Venezuela SE General VENGENL
 Table 2: Time Reversibility (TR) Tests Results for Developed Markets

Time Reversibility Tests Sources of Time Irreversibility

Country Bispectrum TR test Trispectrum TR test Bispectrum Gaussianity Test Bispectrum Linearity Test

Australia 0.0000 0.0000 0.0000 0.0768

Austria 0.0000 0.0000 0.0000 0.1574
Belgium 0.0000 0.0000 0.0000 0.0183
Canada 0.0000 0.0000 0.0000 0.2041
Denmark 0.0000 0.0000 0.0000 0.1368
Finland 0.0000 0.0000 0.0000 0.2268
France 0.0000 0.0000 0.0000 0.2804
Germany 0.0000 0.0000 0.0000 0.0109
Greece 0.0000 0.0000 0.0000 0.0380
Hong Kong 0.0000 0.0000 0.0000 0.0068
Ireland 0.0000 0.0000 0.0000 0.0123
Italy 0.0000 0.0000 0.0000 0.0569
Japan 0.0000 0.0000 0.0000 0.4281
Netherlands 0.0000 0.0000 0.0000 0.0185
New Zealand 0.0000 0.0000 0.0000 0.0063
Norway 0.0000 0.0000 0.0000 0.0478
Portugal 0.0000 0.0000 0.0000 0.0074
Singapore 0.0000 0.0000 0.0000 0.0413
Spain 0.0000 0.0000 0.0000 0.0242
Sweden 0.0000 0.0000 0.0000 0.0444
Switzerland 0.0000 0.0000 0.0000 0.0444
United Kingdom 0.0000 0.0000 0.0000 0.0093
United States 0.0000 0.0000 0.0000 0.0663
 Table 3: Time Reversibility (TR) Tests Results for Emerging Markets

Time Reversibility Tests Sources of Time Irreversibility

Country Bispectrum TR test Trispectrum TR test Bispectrum Gaussianity Test Bispectrum Linearity Test

Argentina 0.0000 0.0000 0.0000 0.0927

Brazil 0.0000 0.0000 0.0000 0.0094
Chile 0.0000 0.0000 0.0000 0.0070
China 0.0000 0.0000 0.0000 0.0267
Czech Republic 0.0000 0.0000 0.0000 0.0920
Egypt 0.0000 0.0000 0.0000 0.0389
Hungary 0.0000 0.0000 0.0000 0.0075
India 0.0000 0.0000 0.0000 0.0120
Indonesia 0.0000 0.0000 0.0000 0.0140
Israel 0.0000 0.0000 0.0000 0.0293
Jordan 0.0000 0.0000 0.0000 0.0214
Malaysia 0.0000 0.0000 0.0000 0.0063
Mexico 0.0000 0.0000 0.0000 0.0129
Pakistan 0.0000 0.0000 0.0000 0.0199
Peru 0.0000 0.0000 0.0000 0.0292
Philippines 0.0000 0.0000 0.0000 0.0544
Poland 0.0000 0.0000 0.0000 0.1018
Russia 0.0000 0.0000 0.0000 0.0091
South Africa 0.0000 0.0000 0.0000 0.0403
South Korea 0.0000 0.0000 0.0000 0.0859
Sri Lanka 0.0000 0.0000 0.0000 0.0063
Taiwan 0.0000 0.0000 0.0000 0.0742
Thailand 0.0000 0.0000 0.0000 0.0252
Turkey 0.0000 0.0000 0.0000 0.0221
Venezuela 0.0000 0.0000 0.0000 0.0063