Johansen cointegration test for pre-and post-financialization log-stock and log-oil series
| ftPre financialization | Lag order | Trace test | p-value | λ max | p-value | |||
| Log IBOVESPA_1-Log AL_1 | 1 | Rank 0 | 36.51 | 0.000 | 32.26 | 0.000 | ||
| Rank 1 | 4.25 | 0.039 | 4.25 | 0.039 | ||||
| Log CHISHA_1-Log AL_1 | 1 | Rank 0 | 13.14 | 0.110 | 8.83 | 0.307 | ||
| Rank 1 | 4.31 | 0.038 | 4.31 | 0.038 | ||||
| Log GERDAX30_1-Log AL_1 | 1 | Rank 0 | 5.42 | 0.763 | 4.93 | 0.750 | ||
| Rank 1 | 0.48 | 0.484 | 0.48 | 0.484 | ||||
| Log INDBOMB_1-Log AL_1 | 1 | Rank 0 | 13.52 | 0.097 | 9.55 | 0.249 | ||
| Rank 1 | 3.97 | 0.046 | 3.97 | 0.046 | ||||
| Log UKFTSE100_1-Log AL_1 | 1 | Rank 0 | 4.45 | 0.859 | 4.45 | 0.805 | ||
| Rank 1 | 0.00 | 0.978 | 0.00 | 0.978 | ||||
| Log USNYSE_1-Log AL_1 | 1 | Rank 0 | 4.69 | 0.837 | 4.54 | 0.796 | ||
| Rank 1 | 0.15 | 0.694 | 0.15 | 0.694 | ||||
| Post-financialization | Lag order | Trace test | p-value | λ max | p-value | |||
| Log IBOVESPA_2-Log AL_2 | 2 | Rank 0 | 8.48 | 0.423 | 8.07 | 0.380 | ||
| Rank 1 | 0.41 | 0.524 | 0.41 | 0.524 | ||||
| Log CHISHA_2-Log AL_2 | 2 | Rank 0 | 7.42 | 0.536 | 4.76 | 0.770 | ||
| Rank 1 | 2.66 | 0.103 | 2.66 | 0.103 | ||||
| Log GERDAX30_2-Log AL_2 | 2 | Rank 0 | 5.31 | 0.775 | 4.56 | 0.793 | ||
| Rank 1 | 0.75 | 0.387 | 0.75 | 0.387 | ||||
| Log INDBOMB_2-Log AL_2 | 2 | Rank 0 | 5.07 | 0.800 | 5.00 | 0.742 | ||
| Rank 1 | 0.07 | 0.790 | 0.07 | 0.790 | ||||
| Log UKFTSE100_2-Log AL_2 | 2 | Rank 0 | 11.46 | 0.187 | 7.71 | 0.418 | ||
| Rank 1 | 3.75 | 0.053 | 3.75 | 0.053 | ||||
| Log USNYSE_2-Log AL_2 | 2 | Rank 0 | 4.96 | 0.812 | 4.27 | 0.825 | ||
| Rank 1 | 0.69 | 0.407 | 0.69 | 0.407 | ||||
| ftPre financialization | Lag order | Trace test | ||||||
| Log IBOVESPA_1-Log AL_1 | 1 | Rank 0 | 36.51 | 0.000 | 32.26 | 0.000 | ||
| Rank 1 | 4.25 | 0.039 | 4.25 | 0.039 | ||||
| Log CHISHA_1-Log AL_1 | 1 | Rank 0 | 13.14 | 0.110 | 8.83 | 0.307 | ||
| Rank 1 | 4.31 | 0.038 | 4.31 | 0.038 | ||||
| Log GERDAX30_1-Log AL_1 | 1 | Rank 0 | 5.42 | 0.763 | 4.93 | 0.750 | ||
| Rank 1 | 0.48 | 0.484 | 0.48 | 0.484 | ||||
| Log INDBOMB_1-Log AL_1 | 1 | Rank 0 | 13.52 | 0.097 | 9.55 | 0.249 | ||
| Rank 1 | 3.97 | 0.046 | 3.97 | 0.046 | ||||
| Log UKFTSE100_1-Log AL_1 | 1 | Rank 0 | 4.45 | 0.859 | 4.45 | 0.805 | ||
| Rank 1 | 0.00 | 0.978 | 0.00 | 0.978 | ||||
| Log USNYSE_1-Log AL_1 | 1 | Rank 0 | 4.69 | 0.837 | 4.54 | 0.796 | ||
| Rank 1 | 0.15 | 0.694 | 0.15 | 0.694 | ||||
| Post-financialization | Lag order | Trace test | ||||||
| Log IBOVESPA_2-Log AL_2 | 2 | Rank 0 | 8.48 | 0.423 | 8.07 | 0.380 | ||
| Rank 1 | 0.41 | 0.524 | 0.41 | 0.524 | ||||
| Log CHISHA_2-Log AL_2 | 2 | Rank 0 | 7.42 | 0.536 | 4.76 | 0.770 | ||
| Rank 1 | 2.66 | 0.103 | 2.66 | 0.103 | ||||
| Log GERDAX30_2-Log AL_2 | 2 | Rank 0 | 5.31 | 0.775 | 4.56 | 0.793 | ||
| Rank 1 | 0.75 | 0.387 | 0.75 | 0.387 | ||||
| Log INDBOMB_2-Log AL_2 | 2 | Rank 0 | 5.07 | 0.800 | 5.00 | 0.742 | ||
| Rank 1 | 0.07 | 0.790 | 0.07 | 0.790 | ||||
| Log UKFTSE100_2-Log AL_2 | 2 | Rank 0 | 11.46 | 0.187 | 7.71 | 0.418 | ||
| Rank 1 | 3.75 | 0.053 | 3.75 | 0.053 | ||||
| Log USNYSE_2-Log AL_2 | 2 | Rank 0 | 4.96 | 0.812 | 4.27 | 0.825 | ||
| Rank 1 | 0.69 | 0.407 | 0.69 | 0.407 | ||||
Note:
Table reports the Johansen test of the Stock-oil series to assess the existence of a cointegration relationship and whether a VECM is the best appropriate model to describe their dynamic behavior