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Table 2 The results of unit root test

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

Variable 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) −23.1662 −3.4451 −2.8679 −2.5702 0.0000 Smooth
R SH (1,0) −20.4621 −3.4451 −2.8679 −2.5702 0.0000 Smooth
R SH (1,1) −23.1666 −3.9792 −3.4202 −3.1327 0.0000 Smooth
R SH (1,1) −20.4508 −3.9792 −3.4202 −3.1327 0.0000 Smooth