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Table 1 Cointegration test

From: Derived signals for S & P CNX nifty index futures

EstimatedRegression
\( {V}_t={\widehat{\beta}}_0+{\widehat{\beta}}_1{M}_t+{\widehat{\beta}}_2{w}_t+{u}_t \)
Estimates
\( {\widehat{\beta}}_0 \) −2.5480*
\( {\widehat{\beta}}_1 \) 0.1369*
\( {\widehat{\beta}}_2 \) −0.0094**
F ratio test statistic 38.6198
DF test statistic on residuals −12.0479
  1. Note:* (**) Significant at 0.01 (<0.01) level. V t  = returns, M t.  = trading margins, and w t  = credit availability dummy variable. The result shows the cointegration between returns and trading margin with credit availability holds good