Table 3 Unit root tests results for...

Table 3

Unit root tests results for Africa and global sovereign bonds

	Level series		Return series
	No trend	With trend	No trend	With trend
ADF
Botswana	−0.843	−2.806	−35.189*	−35.189*
Egypt	−1.436	−1.030	−15.418*	−15.484*
Ghana	−1.337	−3.053	−15.238*	−15.235*
Kenya	−1.619	−3.071	−34.999*	−35.156*
Morocco	−0.214	−3.717**	−36.881*	−36.912*
Nigeria	−1.207	−1.032	−31.873*	−31.929*
South Africa	−1.723	−2.916	−26.673*	−26.683*
Uganda	−0.698	−3.053	−34.756*	−34.817*
PP
Botswana	−0.849	−2.826	−35.200*	−35.213*
Egypt	−1.438	−1.041	−26.797*	−26.829*
Ghana	−1.178	−2.386	−35.418*	−35.421*
Kenya	1.533	−3.048	−35.049*	−35.209*
Morocco	−0.199	−3.715**	−36.907*	−36.952*
Nigeria	−1.190	−1.012	−32.006*	−32.064*
South Africa	−1.756	−2.932	−33.050*	−33.066*
Uganda	0.681	−3.057	−34.758*	−34.833*

	Level series		Return series
	No trend	With trend	No trend	With trend
ADF
Botswana	−0.843	−2.806	−35.189*	−35.189*
Egypt	−1.436	−1.030	−15.418*	−15.484*
Ghana	−1.337	−3.053	−15.238*	−15.235*
Kenya	−1.619	−3.071	−34.999*	−35.156*
Morocco	−0.214	−3.717**	−36.881*	−36.912*
Nigeria	−1.207	−1.032	−31.873*	−31.929*
South Africa	−1.723	−2.916	−26.673*	−26.683*
Uganda	−0.698	−3.053	−34.756*	−34.817*
PP
Botswana	−0.849	−2.826	−35.200*	−35.213*
Egypt	−1.438	−1.041	−26.797*	−26.829*
Ghana	−1.178	−2.386	−35.418*	−35.421*
Kenya	1.533	−3.048	−35.049*	−35.209*
Morocco	−0.199	−3.715**	−36.907*	−36.952*
Nigeria	−1.190	−1.012	−32.006*	−32.064*
South Africa	−1.756	−2.932	−33.050*	−33.066*
Uganda	0.681	−3.057	−34.758*	−34.833*

Note(s): * and ** refers to 1 and 5% statistical significance levels, respectively. ADF and PP are the augmented Dickey-Fuller and Phillips-Perron Unit root tests. MacKinnon's (1991) 1% critical values for no trend and with trend are −3.438 and −3.970, respectively

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