TABLE 2.

Findings of unit root methodology.

	Variables	VIX	EGPC	KENC	TUNC	GHNC	MORC	SAC	UAEC	QTRC	CHC
ADF	Level	−2.45	−2.75	−1.37	−0.92	3.21*	4.8*	−2.12	−3.4*	−3.7*	−2.71
	1st difference	−6***	−5.6***	−3.03*	−4.0***	−9.9***	−2.5	−6***	−3.6*	−6***	6.8***
PP	Level	−3.15	−2.71	−4.69*	−2.891	−2.75	12.0***	−2.10	−3.0*	−3.7*	−3.9*
	1st difference	−5.8**	−9.85***	−15***	−15.3***	−8.2***	−3.74*	−6***	−6.1***	−9***	22***
	Variables	CHD	IRC	IRD	JAPC	JAPD	PAKC	GRC	GRD	ITC	ITD
ADF	Level	−2.64	3.26*	−0.169	0.92	−3.29*	−0.29	1.0	22.9***	1.3	−3.8*
	1st difference	−1.01	−3.99*	−4.61*	−4.156*	−8.5***	−7.4***	−16***	−3.4*	−9***	−5***
PP	Level	−3.48*	3.07*	−0.23	−4.16*	−3.208*	−2.4	−1.34	3.2*	0.05*	2.6
	1st difference	11***	−4.21**	−4.61**	−3.80*	−23***	−11***	−11***	−7.5***	10***	−9***
	Variables	SPC	SPD	UKC	UKD	USC	USD	SWC	SWD	FRC	FRD
ADF	Level	4.42*	12.26***	7.3***	−24***	7.6***	7.2***	4.5*	6.5***	−0.30	4.2**
	1st difference	−3.4*	−3.46*	−1.55	−6.64***	−5***	−2.7***	−13***	−14***	−10***	−3.9*
PP	Level	0.87	4.868**	12.6***	12.7***	5.6***	4.1***	−0.8	−3.9*	−2.24	0.1
	1st difference	−2.87	−8.58***	−4.72*	−4.37*	−5***	−8.4***	−12***	−13***	−15***	−9***

*, **, and *** denotes the significance level at 10, 5, and 1%, respectively.Author’s calculation.