Table II Augmented Dickey-Fuller tests...

Table II

Augmented Dickey-Fuller tests for unit roots

	Type	ρ	Pr<ρ	τ	Pr<τ
Panel A: daily data
Brent Index	Zero mean	0.12	0.7115	0.26	0.7608	UR
	Single mean	−7.27	0.2581	−2.09	0.2473	UR
	Trend	−9.67	0.459	−2.16	0.51	UR
Brent Index Return	Zero mean	−965.22	0.0001	−21.95	<0.0001	No UR
	Single mean	−966.49	0.0001	−21.95	<0.0001	No UR
	Trend	−967.81	0.0001	−21.95	<0.0001	No UR
ICE Brent Crude Futures (CO)
1-month Futures prices	Zero mean	0.12	0.7111	0.26	0.7606	UR
	Single mean	−7.24	0.26	−2.1	0.2455	UR
	Trend	−9.32	0.4842	−2.12	0.5318	UR
2-month Futures prices	Zero mean	0.12	0.7109	0.26	0.7612	UR
	Single mean	−7.29	0.2569	−2.1	0.2464	UR
	Trend	−9.36	0.481	−2.13	0.5267	UR
3-month Futures prices	Zero mean	0.11	0.7096	0.25	0.7587	UR
	Single mean	−7.44	0.248	−2.11	0.2423	UR
	Trend	−9.51	0.4701	−2.15	0.5158	UR
1-month Futures returns	Zero mean	−911.14	0.0001	−21.32	<0.0001	No UR
	Single mean	−911.14	0.0001	−21.31	<0.0001	No UR
	Trend	−911.4	0.0001	−21.3	<0.0001	No UR
2-month Futures returns	Zero mean	−915.97	0.0001	−21.38	<0.0001	No UR
	Single mean	−916.79	0.0001	−21.38	<0.0001	No UR
	Trend	−916.98	0.0001	−21.37	<0.0001	No UR
3-month Futures returns	Zero mean	−915.58	0.0001	−21.38	<0.0001	No UR
	Single mean	−916.15	0.0001	−21.38	<0.0001	No UR
	Trend	−916.65	0.0001	−21.37	<0.0001	No UR
Panel B: 30-minute intraday data
1-month Futures prices	Zero mean	0.13	0.7127	0.26	0.7631	UR
	Single mean	−7.92	0.2225	−2.22	0.1972	UR
	Trend	−9.83	0.4498	−2.21	0.4847	UR
2-month Futures prices	Zero mean	0.12	0.7122	0.27	0.7634	UR
	Single mean	−8	0.2182	−2.22	0.1974	UR
	Trend	−9.89	0.4462	−2.22	0.4792	UR
3-month Futures prices	Zero mean	0.12	0.7108	0.26	0.761	UR
	Single mean	−8.53	0.1924	−2.3	0.1732	UR
	Trend	−10.11	0.4305	−2.26	0.4557	UR
1-month Futures returns	Zero mean	−46,937	0.0001	−153.19	0.0001	No UR
	Single mean	−46,940	0.0001	−153.19	0.0001	No UR
	Trend	−46,942	0.0001	−153.2	0.0001	No UR
2-month Futures returns	Zero mean	−42,206	0.0001	−145.27	0.0001	No UR
	Single mean	−42,208	0.0001	−145.27	0.0001	No UR
	Trend	−42,210	0.0001	−145.27	0.0001	No UR
3-month Futures returns	Zero mean	−34,247	0.0001	−130.85	0.0001	No UR
	Single mean	−34,249	0.0001	−130.85	0.0001	No UR
	Trend	−34,251	0.0001	−130.86	0.0001	No UR

	Type	ρ	Pr<ρ	τ	Pr<τ
Panel A: daily data
Brent Index	Zero mean	0.12	0.7115	0.26	0.7608	UR
	Single mean	−7.27	0.2581	−2.09	0.2473	UR
	Trend	−9.67	0.459	−2.16	0.51	UR
Brent Index Return	Zero mean	−965.22	0.0001	−21.95	<0.0001	No UR
	Single mean	−966.49	0.0001	−21.95	<0.0001	No UR
	Trend	−967.81	0.0001	−21.95	<0.0001	No UR
ICE Brent Crude Futures (CO)
1-month Futures prices	Zero mean	0.12	0.7111	0.26	0.7606	UR
	Single mean	−7.24	0.26	−2.1	0.2455	UR
	Trend	−9.32	0.4842	−2.12	0.5318	UR
2-month Futures prices	Zero mean	0.12	0.7109	0.26	0.7612	UR
	Single mean	−7.29	0.2569	−2.1	0.2464	UR
	Trend	−9.36	0.481	−2.13	0.5267	UR
3-month Futures prices	Zero mean	0.11	0.7096	0.25	0.7587	UR
	Single mean	−7.44	0.248	−2.11	0.2423	UR
	Trend	−9.51	0.4701	−2.15	0.5158	UR
1-month Futures returns	Zero mean	−911.14	0.0001	−21.32	<0.0001	No UR
	Single mean	−911.14	0.0001	−21.31	<0.0001	No UR
	Trend	−911.4	0.0001	−21.3	<0.0001	No UR
2-month Futures returns	Zero mean	−915.97	0.0001	−21.38	<0.0001	No UR
	Single mean	−916.79	0.0001	−21.38	<0.0001	No UR
	Trend	−916.98	0.0001	−21.37	<0.0001	No UR
3-month Futures returns	Zero mean	−915.58	0.0001	−21.38	<0.0001	No UR
	Single mean	−916.15	0.0001	−21.38	<0.0001	No UR
	Trend	−916.65	0.0001	−21.37	<0.0001	No UR
Panel B: 30-minute intraday data
1-month Futures prices	Zero mean	0.13	0.7127	0.26	0.7631	UR
	Single mean	−7.92	0.2225	−2.22	0.1972	UR
	Trend	−9.83	0.4498	−2.21	0.4847	UR
2-month Futures prices	Zero mean	0.12	0.7122	0.27	0.7634	UR
	Single mean	−8	0.2182	−2.22	0.1974	UR
	Trend	−9.89	0.4462	−2.22	0.4792	UR
3-month Futures prices	Zero mean	0.12	0.7108	0.26	0.761	UR
	Single mean	−8.53	0.1924	−2.3	0.1732	UR
	Trend	−10.11	0.4305	−2.26	0.4557	UR
1-month Futures returns	Zero mean	−46,937	0.0001	−153.19	0.0001	No UR
	Single mean	−46,940	0.0001	−153.19	0.0001	No UR
	Trend	−46,942	0.0001	−153.2	0.0001	No UR
2-month Futures returns	Zero mean	−42,206	0.0001	−145.27	0.0001	No UR
	Single mean	−42,208	0.0001	−145.27	0.0001	No UR
	Trend	−42,210	0.0001	−145.27	0.0001	No UR
3-month Futures returns	Zero mean	−34,247	0.0001	−130.85	0.0001	No UR
	Single mean	−34,249	0.0001	−130.85	0.0001	No UR
	Trend	−34,251	0.0001	−130.86	0.0001	No 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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