Table II

Augmented Dickey-Fuller tests for unit roots

TypeρPr<ρτPr<τ
Panel A: daily data
Brent IndexZero mean0.120.71150.260.7608UR
 Single mean−7.270.2581−2.090.2473UR
 Trend−9.670.459−2.160.51UR
Brent Index ReturnZero mean−965.220.0001−21.95<0.0001No UR
 Single mean−966.490.0001−21.95<0.0001No UR
 Trend−967.810.0001−21.95<0.0001No UR
ICE Brent Crude Futures (CO)
1-month Futures pricesZero mean0.120.71110.260.7606UR
 Single mean−7.240.26−2.10.2455UR
 Trend−9.320.4842−2.120.5318UR
2-month Futures pricesZero mean0.120.71090.260.7612UR
 Single mean−7.290.2569−2.10.2464UR
 Trend−9.360.481−2.130.5267UR
3-month Futures pricesZero mean0.110.70960.250.7587UR
 Single mean−7.440.248−2.110.2423UR
 Trend−9.510.4701−2.150.5158UR
1-month Futures returnsZero mean−911.140.0001−21.32<0.0001No UR
 Single mean−911.140.0001−21.31<0.0001No UR
 Trend−911.40.0001−21.3<0.0001No UR
2-month Futures returnsZero mean−915.970.0001−21.38<0.0001No UR
 Single mean−916.790.0001−21.38<0.0001No UR
 Trend−916.980.0001−21.37<0.0001No UR
3-month Futures returnsZero mean−915.580.0001−21.38<0.0001No UR
 Single mean−916.150.0001−21.38<0.0001No UR
 Trend−916.650.0001−21.37<0.0001No UR
Panel B: 30-minute intraday data
1-month Futures pricesZero mean0.130.71270.260.7631UR
 Single mean−7.920.2225−2.220.1972UR
 Trend−9.830.4498−2.210.4847UR
2-month Futures pricesZero mean0.120.71220.270.7634UR
 Single mean−80.2182−2.220.1974UR
 Trend−9.890.4462−2.220.4792UR
3-month Futures pricesZero mean0.120.71080.260.761UR
 Single mean−8.530.1924−2.30.1732UR
 Trend−10.110.4305−2.260.4557UR
1-month Futures returnsZero mean−46,9370.0001−153.190.0001No UR
 Single mean−46,9400.0001−153.190.0001No UR
 Trend−46,9420.0001−153.20.0001No UR
2-month Futures returnsZero mean−42,2060.0001−145.270.0001No UR
 Single mean−42,2080.0001−145.270.0001No UR
 Trend−42,2100.0001−145.270.0001No UR
3-month Futures returnsZero mean−34,2470.0001−130.850.0001No UR
 Single mean−34,2490.0001−130.850.0001No UR
 Trend−34,2510.0001−130.860.0001No UR

Notes: Three different Dickey-Fuller test results are presented in the table. The last column summarizes whether there are unit roots (UR) or not (No UR) based on 5 percent statistical significance

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