Table 2 Stationarity tests of equity...

Table 2

Stationarity tests of equity returns

Equities	ADF				KPSS
Equities	HFQ	MFQ	LFQ	RESID	HFQ	MFQ	LFQ	RESID
DJAT	−17.70**	−8.15**	−6.60**	−17.83**	0.05	0.33	1.82**	20.48**
DJIME	−18.68**	−8.59**	−4.40**	−4.15**	0.07	0.02	0.94**	13.54**
DJMENA	−18.04**	−8.44**	−1.54	−23.16**	0.02	0.09	0.93**	5.92**
DJSAP	−16.78**	−8.47**	−0.84	−0.07**	0.02	0.25	2.28**	23.65**
DJSE	−16.90**	−9.92**	−1.21	−11.50**	0.03	0.03	1.33**	21.58**
DJSEM	−16.69**	−7.89**	−8.96**	1.02	0.04	0.05	1.85**	23.64**
DJSEZ	−18.90**	−7.84**	−6.46**	−6.83**	0.08	0.60*	2.33**	23.67**
DJSNA	−19.19**	−10.19**	−2.79	−1.49	0.06	0.04	1.17**	11.46**
DJSUS	−19.03**	−9.55**	−1.33	−26.35**	0.07	0.02	1.01**	12.98**
DJSW	−18.40**	−10.35**	−2.49	−6.25**	0.03	0.03	1.05**	13.29**
DJSWD	−18.22**	−8.78**	−0.58	−9.41**	0.02	0.02	0.94**	23.50**
S.PAA	−18.44**	−8.83**	−2.71	−28.39**	0.01	0.04	2.81**	15.45**
S.PBRICT	−16.94**	−7.65**	−5.94**	−2.85	0.13	0.17	4.84**	23.60**
S.PEA	−17.18**	−7.24**	−1.75	−9.76**	0.02	0.18	2.14**	23.65**
S.PFBMIS	−17.95**	−6.04**	−2.15	0.49	0.01	0.49*	4.32**	23.63**
S.PGBMI	−18.07**	−10.88**	−0.95	−12.88**	0.01	0.04	0.92**	19.22**
S.PLABMI	−17.59**	−7.96**	−1.00	−0.15	0.06	0.08	2.71**	23.63**
S.PNA	−16.40**	−7.46**	−1.68	−0.15	0.01	0.08**	0.84**	23.70**
S.PPAFS	−16.15**	−7.17**	−7.82**	−17.80**	0.08	0.21	1.75**	9.96**
S.PSSA	−17.87**	−8.99**	−2.46	−6.84**	0.04	0.03	2.34**	22.26**
NAMERICAI	−19.25**	−10.23**	−1.02	−25.66**	0.04	10.02	1.92**	6.84**
NAREITs	−16.58**	−8.95**	0.84	−3.18	0.03	0.04	3.10**	23.58**
NASIAI	−17.17**	−8.80**	−13.16**	0.38	0.02	0.06	5.35**	23.65**
NBRICI	−16.79**	−7.20**	−1.25	0.70	0.10	0.04	1.19**	23.65**
NDMI	−17.18**	−6.72**	−2.04	−0.09	0.02	0.04	3.69**	23.65**
NEMI	−17.44**	−7.77**	−0.98	−9.27**	0.07	0.08	2.95**	21.35**
NEUROPI	−17.16**	−8.31**	2.65	2.23	0.02	0.20	1.66**	22.97**
NEUROZI	−17.60**	−8.99**	−1.17	−22.51**	0.10	0.13	1.46**	4.95**
NGMCI	−18.01**	−9.07**	−7.27**	−1.85	0.01	0.10	2.43**	23.62**
NGVOLNDX	−12.46**	−10.28**	−2.61	10.17	0.09	0.59*	1.59**	22.45**

Equities	ADF				KPSS
Equities	HFQ	MFQ	LFQ	RESID	HFQ	MFQ	LFQ	RESID
DJAT	−17.70**	−8.15**	−6.60**	−17.83**	0.05	0.33	1.82**	20.48**
DJIME	−18.68**	−8.59**	−4.40**	−4.15**	0.07	0.02	0.94**	13.54**
DJMENA	−18.04**	−8.44**	−1.54	−23.16**	0.02	0.09	0.93**	5.92**
DJSAP	−16.78**	−8.47**	−0.84	−0.07**	0.02	0.25	2.28**	23.65**
DJSE	−16.90**	−9.92**	−1.21	−11.50**	0.03	0.03	1.33**	21.58**
DJSEM	−16.69**	−7.89**	−8.96**	1.02	0.04	0.05	1.85**	23.64**
DJSEZ	−18.90**	−7.84**	−6.46**	−6.83**	0.08	0.60*	2.33**	23.67**
DJSNA	−19.19**	−10.19**	−2.79	−1.49	0.06	0.04	1.17**	11.46**
DJSUS	−19.03**	−9.55**	−1.33	−26.35**	0.07	0.02	1.01**	12.98**
DJSW	−18.40**	−10.35**	−2.49	−6.25**	0.03	0.03	1.05**	13.29**
DJSWD	−18.22**	−8.78**	−0.58	−9.41**	0.02	0.02	0.94**	23.50**
S.PAA	−18.44**	−8.83**	−2.71	−28.39**	0.01	0.04	2.81**	15.45**
S.PBRICT	−16.94**	−7.65**	−5.94**	−2.85	0.13	0.17	4.84**	23.60**
S.PEA	−17.18**	−7.24**	−1.75	−9.76**	0.02	0.18	2.14**	23.65**
S.PFBMIS	−17.95**	−6.04**	−2.15	0.49	0.01	0.49*	4.32**	23.63**
S.PGBMI	−18.07**	−10.88**	−0.95	−12.88**	0.01	0.04	0.92**	19.22**
S.PLABMI	−17.59**	−7.96**	−1.00	−0.15	0.06	0.08	2.71**	23.63**
S.PNA	−16.40**	−7.46**	−1.68	−0.15	0.01	0.08**	0.84**	23.70**
S.PPAFS	−16.15**	−7.17**	−7.82**	−17.80**	0.08	0.21	1.75**	9.96**
S.PSSA	−17.87**	−8.99**	−2.46	−6.84**	0.04	0.03	2.34**	22.26**
NAMERICAI	−19.25**	−10.23**	−1.02	−25.66**	0.04	10.02	1.92**	6.84**
NAREITs	−16.58**	−8.95**	0.84	−3.18	0.03	0.04	3.10**	23.58**
NASIAI	−17.17**	−8.80**	−13.16**	0.38	0.02	0.06	5.35**	23.65**
NBRICI	−16.79**	−7.20**	−1.25	0.70	0.10	0.04	1.19**	23.65**
NDMI	−17.18**	−6.72**	−2.04	−0.09	0.02	0.04	3.69**	23.65**
NEMI	−17.44**	−7.77**	−0.98	−9.27**	0.07	0.08	2.95**	21.35**
NEUROPI	−17.16**	−8.31**	2.65	2.23	0.02	0.20	1.66**	22.97**
NEUROZI	−17.60**	−8.99**	−1.17	−22.51**	0.10	0.13	1.46**	4.95**
NGMCI	−18.01**	−9.07**	−7.27**	−1.85	0.01	0.10	2.43**	23.62**
NGVOLNDX	−12.46**	−10.28**	−2.61	10.17	0.09	0.59*	1.59**	22.45**

Note(s): [*, **] show significance levels at respectively 5 and 1%. HFQ, MFQ, LFQ and RESID denote high frequency, medium frequency, low frequency and residue, respectively

Source(s): Table by authors

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