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Table 2 Unit root test

From: Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries

  PP Test ADF Test
Stock Price
  Level 1st Diff. Level 1st Diff.
China −1.81 −62.41* −1.78 −62.37*
Hong Kong −1.83 −62.70* −1.83 −62.70*
India −0.92 −57.72* −0.93 −57.84*
Japan −1.58 −63.04* −1.66 −62.97*
Pakistan −1.11 −57.72* −1.15 −55.91*
Sri Lanka −0.44 −50.11* −0.39 −40.83*
Exchange Rates
China 1.76 −9.88* 1.79 −73.17*
Hong Kong −2.47 −46.07* −2.01 −84.08*
India −0.80 −10.57* −0.46 −62.57*
Japan −1.42 −57.51* −1.39 −57.51*
Pakistan 0.99 −12.90* 0.26 −125.0*
Sri Lanka −2.01 −10.16* −1.98 −102.1*
  1. * indicates p < 1 %
  2. Critical Values at 1 %, 5 % and 10 % are −3.43, −2.86 and −2.56 respectively
  3. PP is Phillips Perron test
  4. ADF is Augmented Dickey Fuller test