Financial Innovation

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	1^st Diff.	Level	1^st 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*

* indicates p < 1 %
Critical Values at 1 %, 5 % and 10 % are −3.43, −2.86 and −2.56 respectively
PP is Phillips Perron test
ADF is Augmented Dickey Fuller test

Back to article page