Table 4 Augmented Dickey–Fuller test... | Emerald Publishing

Table 4

Augmented Dickey–Fuller test

			Full data	Phase 1	Phase 2	Phase 3
NIFTY50		ADF test statistic	−1.00	−1.83	−1.43	−1.04
		p-value	0.75	0.36	0.57	0.74
S&P 500		ADF test statistic	−0.15	−1.85	−1.37	−0.65
		p-value	0.94	0.35	0.60	0.86
Singapore STI		ADF test statistic	−2.39	−1.50	−2.63	−2.00
		p-value	0.15	0.53	0.09	0.29
Hang Seng	Indices (in corresponding currencies)	ADF test statistic	−2.24	−2.44	−2.58	−1.57
		p-value	0.19	0.13	0.10	0.50
Shanghai Co		ADF test statistic	−3.71***	−4.48***	−1.24	−3.35*
		p-value	0.00	0.00	0.66	0.01
FTSE 100		ADF test statistic	−1.92	−1.97	−2.59	−2.34
		p-value	0.32	0.30	0.10	0.16
Nikkei 225		ADF test statistic	−0.99	−2.42	−0.97	−1.31
		p-value	0.76	0.14	0.77	0.63

			Full data	Phase 1	Phase 2	Phase 3
NIFTY50		ADF test statistic	−1.00	−1.83	−1.43	−1.04
		p-value	0.75	0.36	0.57	0.74
S&P 500		ADF test statistic	−0.15	−1.85	−1.37	−0.65
		p-value	0.94	0.35	0.60	0.86
Singapore STI		ADF test statistic	−2.39	−1.50	−2.63	−2.00
		p-value	0.15	0.53	0.09	0.29
Hang Seng	Indices (in corresponding currencies)	ADF test statistic	−2.24	−2.44	−2.58	−1.57
		p-value	0.19	0.13	0.10	0.50
Shanghai Co		ADF test statistic	−3.71***	−4.48***	−1.24	−3.35*
		p-value	0.00	0.00	0.66	0.01
FTSE 100		ADF test statistic	−1.92	−1.97	−2.59	−2.34
		p-value	0.32	0.30	0.10	0.16
Nikkei 225		ADF test statistic	−0.99	−2.42	−0.97	−1.31
		p-value	0.76	0.14	0.77	0.63

Source(s): Own elaboration