Table 2.

Results of unit root test on time series

Variable	ADF test	PP test	Consequence	Variable	ADF test	PP test	Consequence
SPGB	− 0.929	− 0.698	NO	D(lnSPGE)	− 23.631***	− 23.740***	YES
SPCE	− 0.682	− 0.886	NO	D(lnSPCE)	− 22.466***	− 22.593***	YES
MSCI	− 0.366	0.530	NO	D(lnMSCI)	− 23.819***	− 23.887***	YES

D represents a first order difference operation. NO indicates non-stationary series. YES indicates stationary series

^*Indicate rejection of the null hypothesis at a significance level of 10%. **Indicate rejection of the null hypothesis at a significance level of 5%. ***Indicate the rejection of the null hypothesis at a significance level of 1%