Table 4.
The outcomes of the augmented Dickey–Fuller test.
| Variable | Level | 1st Difference | Integration Order |
|---|---|---|---|
| Prob.* | Prob.* | ||
| NC_CH | 0.016 | 0 | I(0) |
| ND_CH | 0.6591 | 0.0001 | I(1) |
| NC_IT | 0.7764 | 0 | I(1) |
| ND_IT | 0.7121 | 0.0265 | I(1) |
| DJIA_R | 0.0867 | 0 | I(1) |
| SPX_R | 0.4132 | 0.0001 | I(1) |
| IBEX35_R | 0.1097 | 0.0001 | I(1) |
| FTMIB_R | 0.0738 | 0.0001 | I(1) |
| FCHI_R | 0.0719 | 0 | I(1) |
| GDAXI_R | 0.3611 | 0.0001 | I(1) |
| FTSE_R | 0.3798 | 0.0001 | I(1) |
| SSE100_R | 0.0301 | 0.0001 | I(0) |
| BET_R | 0.0865 | 0.0001 | I(1) |
| CRUDE_OIL | 0.9977 | 0.0001 | I(1) |
| WTI | 0.9963 | 0.0001 | I(1) |
| NATURAL_GAS | 0.2127 | 0 | I(1) |
| LSCO | 0.9689 | 0 | I(1) |
| XAU_R | 0 | 0 | I(0) |
| EUR_CNY | 0 | 0 | I(0) |
| RO_BOND | 0.0003 | 0 | I(0) |
Source: authors’ own calculations. Notes: null hypothesis: has a unit root. * MacKinnon (1996) one-sided p-values. For the definition of variables, please see Table 1.