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Table 1 The results of unit root test

From: Volatility spillover effect between financial markets: evidence since the reform of the RMB exchange rate mechanism

Variables Type (C, T) ADF values Critical value at 1 % significance level Critical value at 5 % significance level Critical value at 10 % significance level P values Conclusion
R ER (1,0) −26.6842 −3.4392 −2.8653 −2.5688 0.0000 Smooth
R SH (1,0) −27.0766 −3.4392 −2.8653 −2.5688 0.0000 Smooth
R ER (1,1) −21.1644 −3.9708 −3.4161 −3.1303 0.0000 Smooth
R SH (1,1) −27.2565 −3.9708 −3.4160 −3.1303 0.0000 Smooth