TABLE 2.

Unit root test.

	ADF F-statistics		PP F-statistics
Variable	Level	1st Diff.	Level	1st Diff.
DAXR	−6.893713***	−8.54426***	−7.057616***	−37.2059****
GERC	−1.293963	−3.969976**	−0.971366	−14.51473***
GERD	−5.935247***	−4.359161***	3.147762	−6.393867***
FTMR	−4.631659	−11.55646***	−9.451458***	−30.1619***
ITLD	−1.127702	−4.174362***	−0.400067	−11.35456***
ITLC	−1.300231	−5.849862**	−0.488626	−8.372171***
IBER	−4.27056	−9.985616***	−9.446574***	−63.65801***
SPD	−1.506727	−10.32241***	0.159422	−10.09496***
SPC	4.552953	−7.028486***	−0.374729	−7.97616***
LSER	−8.775255***	−8.591517***	−8.768878***	−47.87539***
UKC	−7.816325***	−1.578091	2.746256	−9.61778***
UKD	7.429147***	−12.36282***	2.571441	−12.31254***
SPR	−12.89506***	−6.022076***	−12.13962***	−37.8073***
USC	−6.847753***	−5.567572**	4.310638**	−7.46537***
USD	3.138569	−5.097646**	7.384682***	−5.006879***
NSR	−13.66594***	−13.40744***	−12.64235***	−34.28961***

*, ** and *** denote 10, 5, and 1% level of significance, respectively. Source: Author’s calculation.