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

Financial Innovation

Table 2 The results of unit root test

Variable	Type (C, T)	ADF values	Critical value at 1 % significance level	Critical value at 5 % significance level	Critical value at 10 % significance level	Conclusion
R _ER	(1,0)	−23.1662	−3.4451	−2.8679	−2.5702	Smooth
R _SH	(1,0)	−20.4621	−3.4451	−2.8679	−2.5702	Smooth
R _SH	(1,1)	−23.1666	−3.9792	−3.4202	−3.1327	Smooth
R _SH	(1,1)	−20.4508	−3.9792	−3.4202	−3.1327	Smooth