Table 2 ADF test results on indices...

Table 2

ADF test results on indices series at level and at first difference during different study periods

		2019		2020		2021		2022
INDEX		ADJ.T-stat	Prob	ADJ.T-stat	Prob	ADJ.T-stat	Prob	ADJ.T-stat	Prob
HIS	Intercept	−0.644083 (−3.533204)	0.8528	−2.854351 (−3.534868)	0.0564	−3.470840 (−3.533204)	0.0119	−2.216238 (−3.533204)	0.2026
	Trend&int	−2.060580 (−4.103198)	0.5576	−3.774681 (−4.105534)	0.0243	−3.453278 (−4.103198)	0.0531	−2.203810 (−4.103198)	0.4795
	None	−0.463026 (−2.600471)	0.5110	−0.129201 (−2.601024)	0.6354	−0.328641 (−2.600471)	0.5632	0.235821 (−2.600471)	0.7516
HSI(−1)	Intercept	−8.297847 (−3.534868)	0.0000	−9.360463 (−2.601596)	0.0000	−9.043984 (−3.534868)	0.0000	−7.552685 (−2.601024)	0.0000
JKSE	Intercept	−1.074377 (−3.533204)	0.7211	−2.469076 (−3.534868)	0.1277	−1.810807 (−3.533204)	0.3723	−2.216238 (−3.533204)	0.2026
	Trend&int	−1.468527 (−4.103198)	0.8305	−3.864645 (−4.105534)	0.0192	−1.146233 (−4.103198)	0.9127	−2.203810 (−4.103198)	0.4795
	None	−0.222941 (−2.600471)	0.6022	−0.380773 (−2.601024)	0.5433	−0.431682 (−2.600471)	0.5235	0.235821 (−2.600471)	0.7516
JKSE(−1)	Intercept	−7.606810 (−3.534868)	0.0000	−7.341768 (−3.536587)	0.0000	−7.659869 (−3.534868)	0.0000	−7.530553 (−3.534868)	0.0000
KLSE	Intercept	−1.504691 (−3.533204)	0.5251	−0.129933 (−3.534868)	0.9412	−2.907432 (−3.533204)	0.0499	0.115504 (−3.533204)	0.9646
	Trend&int	−0.889055 (−4.103198)	0.9508	−3.999718 (0.0134)	−4.105534	−3.638335 (−4.103198)	0.0341	−1.930144 (−4.103198)	0.6276
	None	−0.168419 (−2.600471)	0.6217	0.696055 (0.8634)	−2.601024	−0.668756 (0.4237)	−2.600471	−0.986281 (−2.600471)	0.2872
KLSE(−1)	Intercept	−7.296374 (−3.534868)	0.0000	−7.355665 (−3.536587)	0.0000	−9.303128 (−3.534868)	0.0000	−7.626445 (−3.534868)	0.0000
KS11	Intercept	−0.948290 (−3.533204)	0.7666	−0.231069 (−3.536587)	0.9284	−1.650700 (−3.533204)	0.4513	−1.712405 (−3.533204)	0.4204
	Trend&int	−1.763686 (−4.103198)	0.7110	−4.401505 (−4.105534)	0.0043	−2.424214 (−4.103198)	0.3641	−2.848359 (−4.103198)	0.1859
	None	−0.223105 (−2.600471)	0.6022	0.991703 (−2.601596)	0.9135	1.241136 (−2.600471)	0.9440	−0.364227 (−2.600471)	0.5497
KS11(−1)	Intercept	−7.942764 (−3.534868)	0.0000	−8.411559 (−3.536587)	0.0000	−7.984433 (−3.534868)	0.0000	−8.792336 (−3.534868)	0.0000
NSEI	Intercept	−2.152063 (−3.533204)	0.2256	−2.414748 (−3.534868)	0.1417	−0.843630 (−3.533204)	0.7997	−1.140720 (−3.533204)	0.6948
	Trend&int	−2.287822 (−4.103198)	0.4344	−4.560436 (−4.105534)	0.0026	−2.614580 (−4.103198)	0.2755	−2.659086 (−4.103198)	0.2567
	None	0.909753 (−2.600471)	0.9013	−0.289042 (−2.601024)	0.5780	0.436973 (−2.600471)	0.8056	−0.309586 (−2.600471)	0.5704
NSEI(−1)	Intercept	−8.396988 (−3.534868)	0.0000	−10.20027 (−3.536587)	0.0000	−8.343396 (−3.534868)	0.0000	−8.658993 (−3.534868)	0.0000
N225	Intercept	−1.510372 (−3.533204)	0.5223	−0.500135 (−3.534868)	0.8839	−2.339379 (−3.533204)	0.1630	−2.702776 (−3.533204)	0.0789
	Trend&int.	−1.971324 (−4.103198)	0.6058	−3.934290 (−4.105534)	0.0160	−2.962413 (−4.103198)	0.1506	−2.600006 (−4.103198)	0.2818
	None	0.018021 (−2.600471)	0.6850	0.793476 (−2.601024)	0.8818	−0.143790 (−2.600471)	0.6303	0.945946 (−2.600471)	0.9069
N225(−1)	Intercept	−8.462388 (−3.534868)	0.0000	−6.916408 (−3.536587)	0.0000	−8.588700 (−3.534868)	0.0000	−7.540752 (−3.534868)	0.0000
SSE	Intercept	−0.860798 (−3.533204)	0.7946	−2.074518 (−3.534868)	0.2555	−2.074518 (−3.534868)	0.2555	−0.985391 (−3.533204)	0.7538
	Trend&int.	−2.010398 (−4.103198)	0.5848	−4.984643 (−4.105534)	0.0007	−4.984643 (−4.105534)	0.0007	−2.439798 (−4.103198)	0.3564
	None	−0.547100 (−2.600471)	0.4764	−0.148014 (−2.601024)	0.6288	−0.148014 (−2.601024)	0.6288	0.827026 (−2.600471)	0.8877
SSE(−1)	Intercept	−7.907216 (−3.534868)	0.0000	−8.375578 (−3.536587)	0.0000	−8.375578 (−3.536587)	0.0000	−8.283526 (−3.534868)	0.0000
TWII	Intercept	−1.766925 (−3.533204)	0.3935	−0.453896 (−3.534868)	0.8928	−1.771984 (−3.533204)	0.3910	−1.346188 (−3.533204)	0.6031
	Trend&int.	−2.018956 (−4.103198)	0.5802	−5.295913 (−4.105534)	0.0002	−1.815030 (−4.103198)	0.6863	−1.982056 (−4.103198)	0.6001
	None	0.501685 (−2.600471)	0.8212	0.501911 (−2.601024)	0.8213	0.508199 (−2.600471)	0.8228	−0.578353 (−2.600471)	0.4631
TWII(−1)	Intercept	−8.217885 (−3.534868)	0.0000	−8.005851 (−3.536587)	0.0000	−6.881751 (−3.534868)	0.0000	−7.911792 (−3.534868)	0.0000
TA-125	Intercept	−2.177563 (−3.533204)	0.2163	−1.142994 (−3.534868)	0.6937	−1.419974 (−3.533204)	0.5674	−0.954171 (−3.533204)	0.7646
	Trend&int.	−2.112203 (−4.103198)	0.5294	−3.516696 (−4.105534)	0.0459	−3.155429 (−4.103198)	0.1025	−2.824773 (−4.103198)	0.1939
	None	0.389400 (−2.600471)	0.7935	0.579056 (−2.601024)	0.8389	1.088865 (−2.600471)	0.9267	−0.390667 (−2.601596)	0.5394
TA125(−1)	Intercept	−9.405041 (−3.534868)	0.0000	−10.79842 (−3.536587)	0.0000	−9.610197 (−3.534868)	0.0000	−6.737578 (−3.536587)	0.0000
KQ11	Intercept	−1.294092 (−3.533204)	0.6276	−0.127231 (−3.534868)	0.9415	−2.668323 (−3.533204)	0.0850	−1.243372 (−3.534868)	0.6506
	Trend&int.	−1.808119 (−4.103198)	0.6897	−4.232100 (−4.105534)	0.0070	−2.280065 (−4.103198)	0.4385	−2.574944 (−4.103198)	0.2928
	None	−0.204196 (−2.600471)	0.6090	1.205788 (−2.601024)	0.9403	1.143881 (−2.600471)	0.9333	−0.108537 (−2.601024)	0.6426
KQ11(−1)	Intercept	−8.340193 (−3.534868)	0.0000	−7.857403 (−3.536587)	0.0000	−7.127790 (−3.534868)	0.0000	−9.589249 (−3.534868)	0.0000

		2019		2020		2021		2022
INDEX		ADJ.T-stat	Prob	ADJ.T-stat	Prob	ADJ.T-stat	Prob	ADJ.T-stat	Prob
HIS	Intercept	−0.644083 (−3.533204)	0.8528	−2.854351 (−3.534868)	0.0564	−3.470840 (−3.533204)	0.0119	−2.216238 (−3.533204)	0.2026
	Trend&int	−2.060580 (−4.103198)	0.5576	−3.774681 (−4.105534)	0.0243	−3.453278 (−4.103198)	0.0531	−2.203810 (−4.103198)	0.4795
	None	−0.463026 (−2.600471)	0.5110	−0.129201 (−2.601024)	0.6354	−0.328641 (−2.600471)	0.5632	0.235821 (−2.600471)	0.7516
HSI(−1)	Intercept	−8.297847 (−3.534868)	0.0000	−9.360463 (−2.601596)	0.0000	−9.043984 (−3.534868)	0.0000	−7.552685 (−2.601024)	0.0000
JKSE	Intercept	−1.074377 (−3.533204)	0.7211	−2.469076 (−3.534868)	0.1277	−1.810807 (−3.533204)	0.3723	−2.216238 (−3.533204)	0.2026
	Trend&int	−1.468527 (−4.103198)	0.8305	−3.864645 (−4.105534)	0.0192	−1.146233 (−4.103198)	0.9127	−2.203810 (−4.103198)	0.4795
	None	−0.222941 (−2.600471)	0.6022	−0.380773 (−2.601024)	0.5433	−0.431682 (−2.600471)	0.5235	0.235821 (−2.600471)	0.7516
JKSE(−1)	Intercept	−7.606810 (−3.534868)	0.0000	−7.341768 (−3.536587)	0.0000	−7.659869 (−3.534868)	0.0000	−7.530553 (−3.534868)	0.0000
KLSE	Intercept	−1.504691 (−3.533204)	0.5251	−0.129933 (−3.534868)	0.9412	−2.907432 (−3.533204)	0.0499	0.115504 (−3.533204)	0.9646
	Trend&int	−0.889055 (−4.103198)	0.9508	−3.999718 (0.0134)	−4.105534	−3.638335 (−4.103198)	0.0341	−1.930144 (−4.103198)	0.6276
	None	−0.168419 (−2.600471)	0.6217	0.696055 (0.8634)	−2.601024	−0.668756 (0.4237)	−2.600471	−0.986281 (−2.600471)	0.2872
KLSE(−1)	Intercept	−7.296374 (−3.534868)	0.0000	−7.355665 (−3.536587)	0.0000	−9.303128 (−3.534868)	0.0000	−7.626445 (−3.534868)	0.0000
KS11	Intercept	−0.948290 (−3.533204)	0.7666	−0.231069 (−3.536587)	0.9284	−1.650700 (−3.533204)	0.4513	−1.712405 (−3.533204)	0.4204
	Trend&int	−1.763686 (−4.103198)	0.7110	−4.401505 (−4.105534)	0.0043	−2.424214 (−4.103198)	0.3641	−2.848359 (−4.103198)	0.1859
	None	−0.223105 (−2.600471)	0.6022	0.991703 (−2.601596)	0.9135	1.241136 (−2.600471)	0.9440	−0.364227 (−2.600471)	0.5497
KS11(−1)	Intercept	−7.942764 (−3.534868)	0.0000	−8.411559 (−3.536587)	0.0000	−7.984433 (−3.534868)	0.0000	−8.792336 (−3.534868)	0.0000
NSEI	Intercept	−2.152063 (−3.533204)	0.2256	−2.414748 (−3.534868)	0.1417	−0.843630 (−3.533204)	0.7997	−1.140720 (−3.533204)	0.6948
	Trend&int	−2.287822 (−4.103198)	0.4344	−4.560436 (−4.105534)	0.0026	−2.614580 (−4.103198)	0.2755	−2.659086 (−4.103198)	0.2567
	None	0.909753 (−2.600471)	0.9013	−0.289042 (−2.601024)	0.5780	0.436973 (−2.600471)	0.8056	−0.309586 (−2.600471)	0.5704
NSEI(−1)	Intercept	−8.396988 (−3.534868)	0.0000	−10.20027 (−3.536587)	0.0000	−8.343396 (−3.534868)	0.0000	−8.658993 (−3.534868)	0.0000
N225	Intercept	−1.510372 (−3.533204)	0.5223	−0.500135 (−3.534868)	0.8839	−2.339379 (−3.533204)	0.1630	−2.702776 (−3.533204)	0.0789
	Trend&int.	−1.971324 (−4.103198)	0.6058	−3.934290 (−4.105534)	0.0160	−2.962413 (−4.103198)	0.1506	−2.600006 (−4.103198)	0.2818
	None	0.018021 (−2.600471)	0.6850	0.793476 (−2.601024)	0.8818	−0.143790 (−2.600471)	0.6303	0.945946 (−2.600471)	0.9069
N225(−1)	Intercept	−8.462388 (−3.534868)	0.0000	−6.916408 (−3.536587)	0.0000	−8.588700 (−3.534868)	0.0000	−7.540752 (−3.534868)	0.0000
SSE	Intercept	−0.860798 (−3.533204)	0.7946	−2.074518 (−3.534868)	0.2555	−2.074518 (−3.534868)	0.2555	−0.985391 (−3.533204)	0.7538
	Trend&int.	−2.010398 (−4.103198)	0.5848	−4.984643 (−4.105534)	0.0007	−4.984643 (−4.105534)	0.0007	−2.439798 (−4.103198)	0.3564
	None	−0.547100 (−2.600471)	0.4764	−0.148014 (−2.601024)	0.6288	−0.148014 (−2.601024)	0.6288	0.827026 (−2.600471)	0.8877
SSE(−1)	Intercept	−7.907216 (−3.534868)	0.0000	−8.375578 (−3.536587)	0.0000	−8.375578 (−3.536587)	0.0000	−8.283526 (−3.534868)	0.0000
TWII	Intercept	−1.766925 (−3.533204)	0.3935	−0.453896 (−3.534868)	0.8928	−1.771984 (−3.533204)	0.3910	−1.346188 (−3.533204)	0.6031
	Trend&int.	−2.018956 (−4.103198)	0.5802	−5.295913 (−4.105534)	0.0002	−1.815030 (−4.103198)	0.6863	−1.982056 (−4.103198)	0.6001
	None	0.501685 (−2.600471)	0.8212	0.501911 (−2.601024)	0.8213	0.508199 (−2.600471)	0.8228	−0.578353 (−2.600471)	0.4631
TWII(−1)	Intercept	−8.217885 (−3.534868)	0.0000	−8.005851 (−3.536587)	0.0000	−6.881751 (−3.534868)	0.0000	−7.911792 (−3.534868)	0.0000
TA-125	Intercept	−2.177563 (−3.533204)	0.2163	−1.142994 (−3.534868)	0.6937	−1.419974 (−3.533204)	0.5674	−0.954171 (−3.533204)	0.7646
	Trend&int.	−2.112203 (−4.103198)	0.5294	−3.516696 (−4.105534)	0.0459	−3.155429 (−4.103198)	0.1025	−2.824773 (−4.103198)	0.1939
	None	0.389400 (−2.600471)	0.7935	0.579056 (−2.601024)	0.8389	1.088865 (−2.600471)	0.9267	−0.390667 (−2.601596)	0.5394
TA125(−1)	Intercept	−9.405041 (−3.534868)	0.0000	−10.79842 (−3.536587)	0.0000	−9.610197 (−3.534868)	0.0000	−6.737578 (−3.536587)	0.0000
KQ11	Intercept	−1.294092 (−3.533204)	0.6276	−0.127231 (−3.534868)	0.9415	−2.668323 (−3.533204)	0.0850	−1.243372 (−3.534868)	0.6506
	Trend&int.	−1.808119 (−4.103198)	0.6897	−4.232100 (−4.105534)	0.0070	−2.280065 (−4.103198)	0.4385	−2.574944 (−4.103198)	0.2928
	None	−0.204196 (−2.600471)	0.6090	1.205788 (−2.601024)	0.9403	1.143881 (−2.600471)	0.9333	−0.108537 (−2.601024)	0.6426
KQ11(−1)	Intercept	−8.340193 (−3.534868)	0.0000	−7.857403 (−3.536587)	0.0000	−7.127790 (−3.534868)	0.0000	−9.589249 (−3.534868)	0.0000

Note(s): Terms in parentheses denote critical value for rejection of the hypothesis of ADF Test at 1% level

Source(s): Author’s Calculations

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