Table 3.

Unit root tests: monthly LSPI and LIP

LSPI	ADF		PP
	Level	First Difference	Level	First Difference
Taiwan
Ambassador Hotel	−1.69 [4]	−5.39** [4]	−2.03 [4]	−11.57** [4]
First Hotel	−1.69 [4]	−5.39** [4]	−2.03 [4]	−11.57** [4]
Hotel Holiday Garden	−1.61 [4]	−5.41** [4]	−1.68 [4]	−14.10** [4]
Leofoo Corporation	−2.26 [4]	−7.43** [4]	−2.33 [4]	−12.48** [4]
Wan-Hwa Corporation	−0.50 [4]	−9.16** [4]	−1.92 [4]	−30.02** [4]
China Airlines	−2.40 [4]	−7.51** [4]	−2.22 [4]	−15.04** [4]
VWTI (full sample)	−1.38 [4]	−7.72** [4]	−1.64 [4]	−12.18** [4]
VWTI (1/1998–1/2004)	−1.99 [2]	−5.18** [2]	−2.15 [3]	−9.54** [3]
LIP (full sample)	−0.50 [4]	−9.16** [4]	−1.92 [4]	−30.02** [4]
LIP (1/1998-1/2004)	−1.73 [2]	−7.38** [2]	−2.31 [3]	−15.89** [3]
China
Century Plaza Hotel	−1.93 [3]	−5.57** [3]	−2.00 [4]	−11.98** [4]
Cyts Tours	−1.39 [3]	−4.88** [3]	−1.53 [4]	−6.20** [4]
Dong Feng Hotel	−2.49 [3]	−5.03** [3]	−2.69 [4]	−10.46** [4]
Huangshan Tourism	−1.59 [3]	−6.39** [3]	−1.93 [4]	−9.84** [4]
Huatian Hotel	−2.17 [3]	−7.38** [3]	−2.89 [4]	−10.53** [4]
Jingxi Tourism	−1.31 [3]	−4.86** [3]	−1.36 [4]	−8.30** [4]
Jinjiang Hotel	−2.42 [3]	−6.55** [3]	−2.82 [4]	−9.83** [4]
Xian Tourism	−2.16 [3]	−6.24** [3]	−2.29 [4]	−9.66** [4]
Eastern Airlines	−2.56 [3]	−4.31** [3]	−2.61 [4]	−8.73** [4]
VWTI_SH	−1.63 [3]	−5.37** [3]	−1.66 [4]	−6.67** [4]
VWTI_SZ	−1.53 [3]	−4.75** [3]	−1.61 [4]	−7.95** [4]
VWTI_SHSZ	−1.91 [2]	−5.64** [2]	−1.92 [3]	−7.88** [3]
LIP	−2.02 [4]	−9.43** [4]	−2.57 [4]	−26.32** [4]

Note: The symbol (^**) indicates rejection of the null hypothesis of a unit root at the 5% level, based on MacKinnon (1991) critical values. The ADF and PP test equations include an intercept but no time trend since the inclusion of a time trend generates no significantly different results. The optimal lags selected for the ADF and PP tests, using the Akaike Information Criterion (AIC, Judge et al., 1985) and Schwartz Bayesian Criterion (SBC, Schwarz, 1978), are in brackets.