Table 2.

Results of the quantile unit root test.

Quantile	Brazil			Russia			India			China
	α(τ)	t-stats	CV	α(τ)	t-stats	CV	α(τ)	t-stats	CV	α(τ)	t-stats	CV
Panel A: Unit root test for stock prices
0.05	1.121	0.546	−1.321	0.995	−1.54	−2.231	0.875	−1.325	−1.987	0.897	−1.642	−1.814
0.25	0.897	−1.542	−1.895	0.958	−1.512	−2.231	0.897	−0.725	−1.654	0.985	−1.214	−1.895
0.50	0.895	−2.542	−2.897	0.895	−1.941	−2.785	1.110	0.325	−2.391	0.985	−1.578	−2.452
−	0.954	−1.231	−3.214	0.854	−1.321	−3.124	1.121	0.421	−2.514	0.875	−0.912	−2.895
0.95	0.998	−2.124	−3.124	1.124	−1.389	−3.231	0.987	−0.523	−2.452	0.897	−0.692	−3.325

Quantile	Turkey			Mexico			Indonesia
	α(τ)	t-stats	CV	α(τ)	t-stats	CV	α(τ)	t-stats	CV
Panel A: Unit root test for stock prices
0.05	0.875	−2.425	−1.312	0.895	−0.810	−1.695	0.524	−1.754	−1.422
0.25	0.985	−2.598	−2.412	0.895	−1.312	−1.951	0.952	−2.231	−2.515
0.50	0.895	−0.791	−2.321	1.121	0.299	−2.125	0.895	−0.852	−2.527
0.75	0.985	−1.810	−2.543	1.124	1.211	−2.652	1.121	−0.124	−2.844
0.95	0.897	−0.521	−2.845	1.124	1.823	−2.921	1.125	1.124	−2.989

Quantile	Brazil			Russia			India			China
	α(τ)	t-stats	CV	α(τ)	t-stats	CV	α(τ)	t-stats	CV	α(τ)	t-stats	CV
Panel B: Unit root test for COVID-19 cases
0.05	1.111	0.556	−1.521	0.965	−1.64	−2.531	0.955	−1.465	−1.977	−1.95	0.544	−1.774
0.25	0.877	−1.572	−1.695	0.978	−1.712	−2.631	0.697	−0.765	−1.684	−1.97	0.972	−2.531
0.50	0.855	−2.342	−2.697	0.795	−1.841	−2.685	1.410	0.425	−2.491	−2.25	0.865	−0.872
0.75	0.954	−1.431	−3.514	0.554	−1.521	−3.224	1.321	0.451	−2.554	−2.56	1.126	−0.126
0.95	0.968	−2.324	−3.324	1.324	−1.489	−3.431	0.977	−0.623	−2.652	−2.95	1.425	1.324

Quantile	Turkey			Mexico			Indonesia
	α(τ)	t-stats	CV	α(τ)	t-stats	CV	α(τ)	t-stats	CV
Panel B: Unit root test for COVID-19 cases
0.05	0.857	−1.662	−1.714	0.795	−0.820	−1.795	0.624	−1.764	−1.622
0.25	0.975	−1.314	−1.795	0.695	−1.512	−1.751	0.852	−2.531	−2.715
0.50	0.875	−0.491	−2.421	1.321	0.399	−2.155	0.795	−0.862	−2.557
0.75	0.985	−1.810	−2.543	1.124	1.211	−2.652	1.121	−0.124	−2.844
0.95	0.897	−0.521	−2.845	1.124	1.823	−2.921	1.125	1.124	−2.989

Note: This table indicates critical values (CV), t statistics, (t-stats), and the persistence estimates α(τ), of the quantile unit root test by Galvao (2009) and Koenker and Xiao (2004). Bold values indicate that the null hypothesis is rejected $H_0:\text{α}\left(\text{τ}\right)=1$ at the 5 % significance level.