Table 5 Johansen maximum likelihood test for the stock markets of countries of Western Europe Region
From: Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market
Null hypothesis | Alternative hypothesis | λ trace value | Critical values | |
5% | 1% | |||
r = 0** | r > 0 | 390.31 | 291.4 | 307.64 |
r ≤ 1** | r > 1 | 273.72 | 244.15 | 257.68 |
r ≤ 2* | r > 2 | 207.004 | 202.92 | 215.74 |
r ≤ 3 | r > 3 | 159.72 | 165.58 | 177.2 |
r ≤ 4 | r > 4 | 116.12 | 131.7 | 143.09 |
r ≤ 5 | r > 5 | 89.15 | 102.14 | 111.01 |
r ≤ 6 | r > 6 | 65.18 | 76.07 | 84.45 |
r ≤ 7 | r > 7 | 42.59 | 53.12 | 60.16 |
r ≤ 8 | r > 8 | 22.39 | 34.91 | 41.07 |
r ≤ 9 | r > 9 | 10.6 | 19.96 | 24.6 |
r ≤ 10 | r > 10 | 2.68 | 9.24 | 12.97 |
Null hypothesis | Alternative hypothesis | λ max value | Critical values | |
5% | 1% | |||
r = 0** | r = 1 | 116.58 | 69.74 | 76.63 |
r = 1* | r = 2 | 66.71 | 63.57 | 69.94 |
r = 2 | r = 3 | 47.28 | 57.42 | 63.71 |
r = 3 | r = 4 | 43.59 | 52 | 57.95 |
r = 4 | r = 5 | 26.97 | 46.45 | 51.91 |
r = 5 | r = 6 | 23.97 | 40.3 | 46.82 |
r = 6 | r = 7 | 22.59 | 34.4 | 39.79 |
r = 7 | r = 8 | 20.19 | 28.14 | 33.24 |
r = 8 | r = 9 | 11.79 | 22 | 26.81 |
r = 9 | r = 10 | 7.91 | 15.67 | 20.2 |
r = 10 | r = 11 | 2.68 | 9.24 | 12.97 |