Table A2.

LLC panel unit root test.

Variable	Rit		RM		RSML
Method	Statistic	P-value	Statistic	P-value	Statistic	P-value
LLC	−11.37	0.00	−9.826	0.00	−11.19	0.00

Variable	RHML		CDS		VIX
Method	Statistic	P-value	Statistic	P-value	Statistic	P-value
LLC	−10.84	0.00	−1.493	0.07	−1.522	0.06

Variable	TED
Method	Statistic	P-value
LLC	−2.058	0.02

Note: R_it, R_M, R_SML, R_HML, CDS, VIX, and TED are the return of equity i, market return, size premium, value premium, credit default swap, volatility index, and TED spread, respectively. LLC performs well when N lies between 5 and 250 and T lies between 5 and 250. The N and T in this study are 58 and 132, respectively, so it is applicable to use the LLC test to confirm the stationarity.