. 2021 Jan 12;74:101666. doi: 10.1016/j.irfa.2021.101666

Table 2.

Results of Unit root tests.

	ADF		NL		PP		KPSS		ERS		NP
	Pre-COVID Announcement
	Level	FD	Level	FD	Level	FD	Level	FD	Level	FD	Level	FD	Break Dates
Gold return	−10.595^a	–	−9.805^a	–	−11.810^a	–	0.140^a	–	2.053^a	–	0.099^a	–	–
VIX	−3.5360^b	–	−3.183^b	–	−3.478^b	–	0.099^a	–	5.082	3.040^a	0.152	0.132^b	09/04/19

	Post-COVID Announcement
Gold return	−8.690^a	–	−12.431	–	−9.129^a	–	0.032^a	–	1.770^a	–	0.098^a	–	–
VIX	−1.323	−4.237^a	−2.0161	−10.687^a	−1.023	−14.12^a	0.219	0.119^a	15.725	2.065^a	0.270	0.118^b	13/03/20 02/04/20

Note: ADF test is the Augmented Dickey Fuller test; NL test is the Narayan and Liu (2015) test; PP is the Philips Perron test; KPSS is the Kwiatkowski, Phillips, Schmidt, and Shin (1992) test; ERS is the Elliot, Rothenberg, and Stock (1996) test and NP is the Ng and Perron (2001) test. FD denotes First Difference; “^a” and “^b” indicate the rejection of the null hypothesis of a unit root at 1%, 5% and 10%, respectively; the test regression for all the unit root tests includes intercept and trend; I(d) implies the order of integration, where d is the number of differencing required for a series to become stationary; All the variables are in their log forms. The breaks are determined using the Bai and Perron (2003) test.