Skip to main content

Table 1 The estimated τ -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)