. 2020 Sep 28;55:101335. doi: 10.1016/j.ribaf.2020.101335

Table 3.

Johansen cointegration test for 11 different financial indices against 4 global outbreaks. Confidence levels of 90% (*), 95% (**) and 99% (***) for rejecting the null-hypothesis of no-cointegration.

Index	Tests	Outbreaks
		COVID-19	EBOLA	MERS	SARS
Dow Jones	Max-Eigen	$43 . 75^{(* * *)}$	$28 . 57^{(* * *)}$	$53 . 05^{(* * *)}$	10.76
USA	Trace	$52 . 95^{(* * *)}$	$35 . 97^{(* * *)}$	$59 . 13^{(* * *)}$	16.74

S&P 500	Max-Eigen	$42 . 26^{(* * *)}$	$27 . 49^{(* * *)}$	$54 . 77^{(* * *)}$	11.81
USA	Trace	$52 . 05^{(* * *)}$	$36 . 88^{(* * *)}$	$58 . 51^{(* * *)}$	11.81

Euro Stoxx	Max-Eigen	$32 . 86^{(* * *)}$	$76 . 06^{(* * *)}$	$58 . 14^{(* * *)}$	$13 . 90^{(*)}$
Eurozone	Trace	$39 . 55^{(* * *)}$	$79 . 95^{(* * *)}$	$63 . 34^{(* * *)}$	$19 . 27^{(*)}$

DAX	Max-Eigen	$33 . 08^{(* * *)}$	$75 . 85^{(* * *)}$	$56 . 99^{(* * *)}$	$14 . 44^{(*)}$
Germany	Trace	$39 . 80^{(* * *)}$	$79 . 98^{(* * *)}$	$61 . 13^{(* * *)}$	$18 . 93^{(*)}$

CAC	Max-Eigen	$34 . 49^{(* * *)}$	$76 . 02^{(* * *)}$	$54 . 23^{(* * *)}$	12.58
France	Trace	$41 . 09^{(* * *)}$	$79 . 68^{(* * *)}$	$59 . 45^{(* * *)}$	$18 . 15^{(*)}$

Nikkei	Max-Eigen	$44 . 3^{(* * *)}$	$75 . 53^{(* * *)}$	$54 . 46^{(* * *)}$	$20 . 35^{(* * *)}$
Japan	Trace	$50 . 3^{(* * *)}$	$80 . 31^{(* * *)}$	$57 . 29^{(* * *)}$	$25 . 34^{(* * *)}$

HSI	Max-Eigen	$39 . 67^{(* * *)}$	$77 . 82^{(* * *)}$	$40 . 73^{(* * *)}$	$26 . 38^{(* * *)}$
Hong Kong	Trace	$44 . 46^{(* * *)}$	$81 . 51^{(* * *)}$	$75 . 22^{(* * *)}$	$36 . 39^{(* * *)}$

Kospi	Max-Eigen	$42 . 09^{(* * *)}$	$74 . 02^{(* * *)}$	$60 . 81^{(* * *)}$	10.21
South Korea	Trace	$48 . 75^{(* * *)}$	$78 . 68^{(* * *)}$	$66 . 28^{(* * *)}$	17.07

S&P ASX	Max-Eigen	$33 . 93^{(* * *)}$	$74 . 63^{(* * *)}$	$55 . 80^{(* * *)}$	13.57
Australia	Trace	$43 . 72^{(* * *)}$	$79 . 68^{(* * *)}$	$61 . 08^{(* * *)}$	$21 . 82^{(* *)}$

Nifty	Max-Eigen	$39 . 86^{(* * *)}$	$79 . 54^{(* * *)}$	$55 . 16^{(* * *)}$	$18 . 02^{(* *)}$
India	Trace	$46 . 40^{(* * *)}$	$89 . 78^{(* * *)}$	$60 . 37^{(* * *)}$	$24 . 04^{(* *)}$

Ibov	Max-Eigen	$39 . 19^{(* * *)}$	$81 . 67^{(* * *)}$	$58 . 16^{(* * *)}$	$20 . 83^{(* * *)}$
Brazil	Trace	$45 . 52^{(* * *)}$	$87 . 87^{(* * *)}$	$65 . 15^{(* * *)}$	$31 . 18^{(* * *)}$