From: Examining volatility spillover between Asian countries’ stock markets
ADF | PP | |||
---|---|---|---|---|
Variables | Level | 1st diff. | Level | 1st diff. |
India | −0.934554 | −57.84548** | −0.926896 | −57.72980** |
Sri Lanka | −0.393679 | −40.83287** | −0.446672 | −50.11421** |
Hong Kong | −1.836501 | −62.70618** | −1.836588 | −62.70621** |
Pakistan | −1.154962 | −55.91908** | −1.117635 | −57.72733** |
Japan | −1.662088 | −62.97833** | −1.585209 | −63.04025** |
China | −1.782500 | −62.37812** | −1.814469 | −62.41755** |
Critical values | ||||
1 % | −3.431837 | |||
5 % | −2.862082 | |||
10 % | −2.567102 |