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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