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Table 2 The estimated τ -statistic values from unit root tests (First Difference)

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 −23.2* −19.2*(1) −25.1*(1) −23.2* −19.9*(1) −25.2*(1)
Belgium −23.5* −17.75*(1) −23.44*(1) −23.43* −17.5*(1) −24.4*(1)
Britain −25.8* −18.76*(1) −26.76*(1) −24.89* −18.3*(1) −26.8*(1)
Denmark −24.7* −17.63*(1) −25.11*(1) −25.13* −17.6*(1) −25.6*(1)
Finland −25.1* −26.8*(1) −28.77*(1) −25.45* −26.8*(1) −28.5*(1)
France −24.6* −17.53*(1) −26.81*(1) −24.6* −17.5*(1) −26.7*(1)
Germany −22.6* −17.8*(1) −23.6*(1) −22.7* −17.3*(1) −23.5*(1)
Greece −24.4* −19.1*(1) −24.4*(1) −24.39* −19.0*(1) −24.3*(1)
Ireland −24.3* −17.8*(1) −24.5*(1) −24.4* −17.9*(1) −24.4*(1)
Italy −20.2* −14.3*(1) −19.87*(1) −20.30* −14.4*(1) −19.3*(1)
Luxembourg −21.9* −15.5*(1) −22.4*(1) −22.51* −15.7*(1) −23.5*(1)
Netherlands −24.5* −19.9*(1) −25.15*(1) −24.7* −19.6*(1) −25.7*(1)
Norway −23.6* −15.25*(1) −23.83*(1) −23.54* −15.9*(1) −23.5*(1)
Portugal −20.7* −16.6*(1) −21.71*(1) −20.72* −16.8*(1) −21.2*(1)
Spain −24.6* −19.17*(1) −25.68*(1) −24.68* −19.1*(1) −25.6*(1)
Sweden −26.3* −20.5 (1) −27.3*(1) −26.72* −21.5*(1) −27.3*(1)
Switzerland −22.8* −18.4*(1) −22.8*(1) −22.8* −18.7*(1) −22.8*(1)
MSCI 20.25* 23.12*(1) 21.01*(1) 20.54* 24.21*(1) 21.47*(1)
  1. * and ** represents level of significance at 1% and 5% level respectively. ( ) represents the optimum level of lag length