Table 2 Lee–Strazicich unit root test
Model A (Crash) | Critical values | Model C (Constant and trend) | Critical values | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Â | LM | Lag | Breaking dates | LM | Lag | Breaking dates | ||||||
D1t | D2t | %5 | D1t | DT1t | D2t | DT2t | %5 | |||||
GFC period | ||||||||||||
RBIST |  − 4.7103 | 5 | 4.11.2008 | 11.9.2009 |  − 3.5630 |  − 6.8514 | 5 | 4.12.2008 | 4.12.2008 | 26.1.2009 | 26.1.2009 |  − 6.1080 |
RINDUSTRIAL |  − 5.4965 | 0 | 23.9.2008 | 13.1.2009 |  − 3.5630 |  − 6.2979 | 0 | 4.12.208 | 4.12.2008 | 23.1.2009 | 23.1.2009 |  − 6.1080 |
RINFORMATION |  − 5.7276 | 0 | 9.10.2008 | 6.5.2009 |  − 3.5630 |  − 6.5685 | 0 | 23.2.2009 | 23.2.2009 | 14.4.2009 | 14.4.2009 |  − 6.2680 |
RFINANCIALS |  − 4.7026 | 1 | 16.10.2008 | 7.1.2009 |  − 3.5630 |  − 6.6244 | 1 | 26.9.2008 | 26.9.2008 | 29.12.2008 | 29.12.2008 |  − 6.1080 |
RSERVICES |  − 6.5011 | 0 | 16.10.2008 | 4.2.2009 |  − 3.5630 |  − 6.3119 | 0 | 29.9.2008 | 29.9.2008 | 26.11.2008 | 26.11.2008 |  − 6.1080 |
RMETALS |  − 5.5332 | 0 | 26.9.2008 | 24.4.2009 |  − 3.5630 |  − 6.3218 | 0 | 25.9.2008 | 25.9.2008 | 19.2.2009 | 19.2.2009 |  − 6.3120 |
RTOURISM |  − 4.6253 | 0 | 9.10.2008 | 3.6.2009 |  − 3.5630 |  − 6.7539 | 0 | 23.9.2008 | 23.9.2008 | 13.11.2008 | 13.11.2008 |  − 6.1080 |
RREALESTATE |  − 4.7970 | 0 | 7.1.2009 | 6.5.2008 |  − 3.5630 |  − 6.8308 | 0 | 26.9.2008 | 26.9.2008 | 20.11.2008 | 20.11.2008 |  − 6.1080 |
RCHEMPETROL |  − 5.2036 | 1 | 7.10.2008 | 4.12.2008 |  − 3.5630 |  − 6.5727 | 1 | 18.11.2008 | 18.11.2008 | 23.1.2009 | 23.1.2009 |  − 6.1080 |
COVID-19 period | ||||||||||||
RBIST |  − 5.6192 | 1 | 7.1.2020 | 21.5.2021 |  − 3.5630 |  − 10.2027 | 1 | 12.3.2020 | 12.3.2020 | 11.8.2020 | 11.8.2020 |  − 6.3120 |
RINDUSTRIAL |  − 5.7433 | 1 | 16.3.2020 | 22.3.2021 |  − 3.5630 |  − 9.9880 | 1 | 17.3.2020 | 17.3.2020 | 6.8.2020 | 6.8.2020 |  − 6.3120 |
RINFORMATION |  − 4.0343 | 1 | 19.3.2020 | 22.3.2021 |  − 3.5630 |  − 6.9514 | 1 | 11.3.2020 | 11.3.2020 | 30.3.2021 | 30.3.2021 |  − 5.9170 |
RFINANCIALS |  − 6.0347 | 1 | 18.3.2020 | 6.8.2020 |  − 3.5630 |  − 10.4502 | 1 | 27.2.2020 | 27.2.2020 | 13.8.2020 | 13.8.2020 |  − 6.3120 |
RSERVICES |  − 5.4437 | 1 | 23.3.2020 | 22.3.2020 |  − 3.5630 |  − 9.4254 | 1 | 6.3.2020 | 6.3.2020 | 2.11.2020 | 2.11.2020 |  − 6.1850 |
RMETALS |  − 6.8597 | 1 | 17.3.2020 | 17.11.2020 |  − 3.5630 |  − 10.4034 | 1 | 11.3.2020 | 11.3.2020 | 10.8.2020 | 10.8.2020 |  − 6.3120 |
RTOURISM |  − 4.5718 | 1 | 16.3.2020 | 6.8.2020 |  − 3.5630 |  − 8.9689 | 1 | 11.3.2020 | 11.3.2020 | 22.3.2021 | 22.3.2021 |  − 5.9170 |
RREALESTATE |  − 5.6951 | 1 | 16.3.2020 | 6.8.2020 |  − 3.5630 |  − 10.8210 | 1 | 16.3.2020 | 16.3.2020 | 22.3.2021 | 22.3.2021 |  − 5.9170 |
RCHEMPETROL |  − 5.4966 | 1 | 16.3.2020 | 22.3.2021 |  − 3.5630 |  − 8.8731 | 1 | 17.3.2020 | 17.3.2020 | 28.7.2020 | 28.7.2020 |  − 6.3120 |