Table 1 The estimated Ï„ -statistic values from unit root tests (Level)
From: Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market
Variable | Intercept Alone | Intercept + Trend | ||||
|---|---|---|---|---|---|---|
DF | ADF | PP | DF | ADF | PP | |
Austria | 1.742 | 1.98(2) | 1.58(1) | −0.290 | −1.53(2) | −1.19(3) |
Belgium | −0.91 | −0.91(2) | −0.87(1) | −0.89 | −0.98(2) | −0.86(1) |
Britain | −2.01 | −1.98(2) | −1.83(1) | −2.06 | −1.99(2) | −1.78(1) |
Denmark | −1.63 | −1.72(2) | −1.65(2) | −1.63 | −1.83(2) | −1.67(2) |
Finland | −0.66 | −0.91(3) | −0.66(4) | −0.76 | −1.01(3) | −0.54(3) |
France | −1.73 | −1.54(1) | −1.33(3) | −1.88 | −1.54(1) | −1.25(1) |
Germany | −2.04 | −1.93(2) | −1.95(2) | −2.18 | −1.87(2) | −1.91(2) |
Greece | −1.75 | −1.47(2) | −1.99(4) | −1.89 | −1.56(2) | −1.35(4) |
Ireland | −1.77 | −1.56(1) | −1.99(5) | −1.76 | −1.83(1) | −1.89(5) |
Italy | −2.14 | −2.75(2) | −2.76(4) | −2.17 | −2.86(2) | −2.75(4) |
Luxembourg | 0.34 | −1.01(4) | −0.69(5) | −0.85 | −0.89(3) | −0.83(5) |
Netherlands | −1.85 | −2.27(3) | −2.85(2) | −1.18 | −2.38(2) | −2.72(2) |
Norway | −0.67 | −1.39(2) | −1.72(4) | −0.83 | −1.39(3) | −1.37(4) |
Portugal | −1.78 | −2.56(3) | −1.88(4) | −1.59 | −2.87(3) | −1.43(4) |
Spain | −1.78 | −1.82(3) | −1.65(4) | −1.69 | −1.85(4) | −1.87(4) |
Sweden | −1.64 | −1.66(2) | −1.73(5) | −1.55 | −1.66(2) | −1.68(5) |
Switzerland | −1.78 | −2.67(2) | −1.23(2) | −1.11 | −2.78(2) | −1.67(2) |
MSCI | −1.42 | −1.5 (2) | −1.6 (4) | −1.42 | −1.6(2) | −1.5 (4) |