Table 4

Dickey–Fuller test results

TickerRPXRNAVPR
AJG0.000***0.000***0.179
AJIT0.000***0.000***0.033**
BGFD0.000***0.000***0.000***
BGS0.000***0.000***0.031**
CAF0.000***0.000***0.088*
EEA0.000***0.000***0.000***
FJV0.000***0.000***0.008***
GCH0.000***0.000***0.007***
GF0.000***0.000***0.000***
IFF0.000***0.000***0.270
IFN0.000***0.000***0.190
ISL0.000***0.000***0.074*
JEQ0.000***0.000***0.008***
JFJ0.000***0.000***0.002***
JII0.000***0.000***0.535
JMC0.000***0.000***0.043**
JOF0.000***0.000***0.000***
JPB0.000***0.000***0.054*
JPS0.000***0.000***0.014**
JRS0.000***0.000***0.086*
MXF0.000***0.000***0.028**
NAIT0.000***0.000***0.072*
NII0.000***0.000***0.267
SGF0.000***0.000***0.003***
SJG0.000***0.000***0.002***
TDF0.000***0.000***0.003***
TRF0.000***0.000***0.005***
TWN0.000***0.000***0.000***
VNH0.000***0.000***0.330

Note(s): This table reports MacKinnon p-values for Dickey–Fuller tests of our three main variables. ***, **, and * denote significance at the 0.01, 0.05, and 0.10 levels, respectively

Source(s): Own elaboration

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