I am checking the closing prices(about 9000+ prices) of the stocks data to test for randomness.
The test I am using is Ljung Box test, in MFE toolbox for MATLAB,
I used 300 data of closing prices, and 8 lags. Q = test statistics. pval = pvalue.
[Q, pval] = ljungbox(closingPrices,lags);
However, no matter which 30 intervals of 300, I keep getting all the p-value as zero, meaning, reject null hypothesis and conclude that there is no serial correlation.
i tried with different types of stocks, but all the p-value are all zero, which made the Ljung Box's test not very interesting.
May i know if I had used the Ljung Box Test wrongly?
If you have any comments, please enlighten me, thank you very much.