Table 2 Null hypothesis: Unit root...

Table 2

Null hypothesis: Unit root process

Method	Statistic
ADF – Fisher Chi Square	1236.83
ADT – Choi Z Test	−34.37

Series	Lag	Max Lag	Obs
RA	0	17	413
RD	1	17	412
RF	0	17	413
RL	0	17	413
RM	0	17	413
RS	0	17	413
RU	0	17	413
RZ	1	17	412

Note(s): Access Bank return (RA), Dangote Cement return (RD), First Bank return (RF), Lafarge Cement return (RL), market return (RM), Seplat Energy return (RS), UBA return (RU), Zenith Bank return (RZ)

Source(s): Table by the author

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