Table 5.

Johansen cointegration test results among all series under examination

No. of CE(s)	Trace	5% CV	Max Eigen	5% CV
None	271.81	233.13	89.26	62.81
At most 1	182.55	192.89	44.53	57.12
At most 2	138.03	156.00	39.48	51.42
At most 3	98.55	124.24	29.63	45.28
At most 4	68.92	94.15	28.00	39.37
At most 5	40.92	68.52	18.05	33.46
At most 6	22.87	47.21	11.54	27.07
At most 7	11.32	29.68	7.83	20.97
At most 8	3.49	15.41	2.76	14.07
At most 9	0.73	3.76	0.73	3.76

Max-eigenvalue test indicates one cointegrating equation at 5% level are in bold

Series: Bitcoin, DJIA, Ethereum, Eurostoxx 50, MSCI, SP500, Tether, XRP, FTSE 100 and EURUSD. Sample period: 8/8/2015–15/3/2021. Trend assumption: Linear deterministic trend. Lags interval (in first differences): 1 to 4. Trace test indicates one cointegrating equation at 5% level