Table V Results of panel cointegration...

Table V

Results of panel cointegration tests

	Measures of financial development
Test	FD	BSD	SMD	ISD	BOND
Pedroni cointegration results
Case 1
Panel v-statistic	11.056 [0.000]***	13.341 [0.000]***	12.325 [0.000]***	12.245 [0.000]***	12.767 [0.000]***
Panel ρ-statistic	0.891 [0.814]	1.111 [0.867]	0.891 [0.813]	0.942 [0.827]	0.922 [0.964]
Panel PP-statistic	−2.793 [0.003]***	−2.781 [0.003]***	−2.973 [0.002]***	−2.901 [0.000]***	−3.436 [0.000]***
Panel ADF-statistic	−2.794 [0.003]***	−2.547 [0.005]***	−3.127 [0.001]***	−3.521 [0.000]***	−4.956 [0.000]***
Case 2
Group ρ-statistic	1.916 [0.972]	1.803 [0.964]	2.017 [0.978]	2.099 [0.982]	1.977 [0.976]
Group PP-statistic	−5.503 [0.000]***	−5.494 [0.000]***	−4.259 [0.000]***	−5.293 [0.000]***	−4.571 [0.000]***
Group ADF-statistic	−2.725 [0.003]***	−3.501 [0.000]**	−2.413 [0.008]***	−3.286 [0.001]***	−2.453 [0.007]***
Fisher χ² cointegration test (From Max-Eigen Test)
r = 0	75.02 [0.000]***	81.87 [0.000]***	63.42 [0.000]***	63.47 [0.000]***	67.27 [0.000]***
r ⩽ 1	37.72 [0.000]***	46.42 [0.000]***	41.30 [0.000]***	35.65 [0.001]***	56.55 [0.000]***
r ⩽ 2	34.30 [0.000]***	37.20 [0.000]***	18.39 [0.048]***	23.42 [0.009]***	25.33 [0.005]***
r ⩽ 3	27.74 [0.002]***	23.53 [0.009]***	17.10 [0.072]*	19.02 [0.040]**	19.57 [0.034]**
r ⩽ 4	6.087 [0.808]	2.755 [0.987]	4.952 [0.894]	4.081 [0.9436]	9.135 [0.519]
Kao Cointegration
ADF	−4.392 [0.001]***	−2.909 [0.002]***	−2.757 [0.003]***	−2.610 [0.005]***	−2.874 [0.002]***

	Measures of financial development
Test	FD	BSD	SMD	ISD	BOND
Pedroni cointegration results
Case 1
Panel v-statistic	11.056 [0.000]***	13.341 [0.000]***	12.325 [0.000]***	12.245 [0.000]***	12.767 [0.000]***
Panel ρ-statistic	0.891 [0.814]	1.111 [0.867]	0.891 [0.813]	0.942 [0.827]	0.922 [0.964]
Panel PP-statistic	−2.793 [0.003]***	−2.781 [0.003]***	−2.973 [0.002]***	−2.901 [0.000]***	−3.436 [0.000]***
Panel ADF-statistic	−2.794 [0.003]***	−2.547 [0.005]***	−3.127 [0.001]***	−3.521 [0.000]***	−4.956 [0.000]***
Case 2
Group ρ-statistic	1.916 [0.972]	1.803 [0.964]	2.017 [0.978]	2.099 [0.982]	1.977 [0.976]
Group PP-statistic	−5.503 [0.000]***	−5.494 [0.000]***	−4.259 [0.000]***	−5.293 [0.000]***	−4.571 [0.000]***
Group ADF-statistic	−2.725 [0.003]***	−3.501 [0.000]**	−2.413 [0.008]***	−3.286 [0.001]***	−2.453 [0.007]***
Fisher χ² cointegration test (From Max-Eigen Test)
r = 0	75.02 [0.000]***	81.87 [0.000]***	63.42 [0.000]***	63.47 [0.000]***	67.27 [0.000]***
r ⩽ 1	37.72 [0.000]***	46.42 [0.000]***	41.30 [0.000]***	35.65 [0.001]***	56.55 [0.000]***
r ⩽ 2	34.30 [0.000]***	37.20 [0.000]***	18.39 [0.048]***	23.42 [0.009]***	25.33 [0.005]***
r ⩽ 3	27.74 [0.002]***	23.53 [0.009]***	17.10 [0.072]*	19.02 [0.040]**	19.57 [0.034]**
r ⩽ 4	6.087 [0.808]	2.755 [0.987]	4.952 [0.894]	4.081 [0.9436]	9.135 [0.519]
Kao Cointegration
ADF	−4.392 [0.001]***	−2.909 [0.002]***	−2.757 [0.003]***	−2.610 [0.005]***	−2.874 [0.002]***

Notes: Trend assumption: deterministic intercept and trend (Pedroni). Automatic lag length selection based on SIC. The FD, BSD, SMD, ISD and BOND indicate the index for overall financial development, banking sector development, stock market development, insurance sector development and bond market development, respectively. The values in the square brackets are p-values. *,**,***Represents that null hypothesis of no cointegration can be rejected at 1, 5 and 10 percent level of significance, respectively, which shows that the variables under consideration share long run relationship

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