Johansen–Juselius cointegration tests for equity indices
| Markets | Null Hypothesis | t-statistics (5%) | |
|---|---|---|---|
| Trace | Max Eigen | ||
| JPN* | At Most One | 803.3344 | 345.2216 |
| KOR* | At Most One | 808.5560 | 465.6239 |
| STI* | At Most One | 762.3281 | 423.3376 |
| PHIL* | At Most One | 694.4797 | 409.5602 |
| HK* | At Most One | 630.5607 | 346.9450 |
| Markets | Null Hypothesis | t-statistics (5%) | |
|---|---|---|---|
| Trace | Max Eigen | ||
| JPN* | At Most One | 803.3344 | 345.2216 |
| KOR* | At Most One | 808.5560 | 465.6239 |
| STI* | At Most One | 762.3281 | 423.3376 |
| PHIL* | At Most One | 694.4797 | 409.5602 |
| HK* | At Most One | 630.5607 | 346.9450 |
Note:
***, ** and * indicate significance at 1, 5 and 10%, respectively
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