Table 5. Johansen cointegration test of...

Table 5.

Johansen cointegration test of log-oil series

		Trace test	p-value	λ max	p-value
Pre-financialization	Lag order 1
AL-BR-WTI	Rank 0	229.89	0.000	169.14	0.000
	Rank 1	60.75^*	0.000^*	57.23^*	0.000^*
	Rank 2	3.52	0.061	3.52	0.061
Post-financialization	Lag order 17
AL-BR-WTI	Rank 0	133.90	0.000	104.72	0.000
	Rank 1	29.17^*	0.000^*	24.85^*	0.000^*
	Rank 2	4.33	0.377	4.33	0.377

		Trace test	p-value	λ max	p-value
Pre-financialization	Lag order 1
AL-BR-WTI	Rank 0	229.89	0.000	169.14	0.000
	Rank 1	60.75^*	0.000^*	57.23^*	0.000^*
	Rank 2	3.52	0.061	3.52	0.061
Post-financialization	Lag order 17
AL-BR-WTI	Rank 0	133.90	0.000	104.72	0.000
	Rank 1	29.17^*	0.000^*	24.85^*	0.000^*
	Rank 2	4.33	0.377	4.33	0.377

Notes:

This Table reports the Johansen cointegration test for log-oil price series both for pre- and post-financialization period.

Indicates cointegration relationship at 5% level

Source: Personal elaborations on Datastream (2021)