Table 2.

Unit root with break tests for log prices

Japanese Hotels	LFJT		LIMP		LRYL		LKYT
Zivot-	t-Stat	Pr.	t-Stat	Pr.	t-Stat	Pr.	t-Stat
Andrews	− 2.379	0.946	− 4.658	0.035	− 3.666	0.319	− 2.345
	Break:	Pr.	Break:	Pr.	Break:	Pr.	Break:
	7/31/'20	0.008	3/17/'20	0.042	11/06/'20	0.002	4/06/'20

US Hotels	LCHH		LH		LHLT		LIHG
Zivot-	t-Stat	Pr.	t-Stat	Pr.	t-Stat	Pr.	t-Stat
Andrews	− 3.324	0.512	− 3.229	0.572	− 2.020	0.989	− 2.583
	Break:	Pr.	Break:	Pr.	Break:	Pr.	Break:
	4/01/'20	0.021	5/13/'20	0.019	1/08/'19	0.146	3/17/'20

Japanese Hotels		LOL		LSB		LKRT
Zivot-	Pr.	t-Stat	Pr.	t-Stat	Pr.	t-Stat	Pr.
Andrews	0.953	− 3.646	0.328	− 3.152	0.618	− 2.348	0.952
	Pr.	Break:	Pr.	Break:	Pr.	Break:	Pr.
	0.010	7/30/'19	0.099	11/27/'20	0.006	3/16/'20	0.038

US Hotels		LMAR		LWH		LMGM
Zivot-	Pr.	t-Stat	Pr.	t-Stat	Pr.	t-Stat	Pr.
Andrews	0.890	− 3.144	0.622	− 2.737	0.829	− 2.280	0.964
	Pr.	Break:	Pr.	Break:	Pr.	Break:	Pr.
	0.025	5/05/'20	0.010	3/18/'20	0.015	5/12/'20	0.024

Null hypothesis: log prices have a unit root; exogenous: a constant and trend; trend break; almost all log asset prices except for IMP have a unit root