China Finance and Economic Review

Table 2 Unit root results

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

Source: authors’ formation
ADF Dickey and Fuller (1979) test of stationarity, PP Phillips and Perron (1988) test of stationarity
**p < 1 %

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