Skip to main content

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
  1. *, (**) denotes rejection of the hypothesis at the 5%, (1%) level respectively
  2. r = No. of Cointegrating vectors