Table 2.

Unit root tests.

Stationarity tests	Chinese stock market		U.S. stock market
	R_SSEC	R_SZSC	R_S&P500	R_DJIA	R_IXIC
ADF test	−67.9529 c	−64.8896 c	−79.8016 c	−79.7435 c	−76.5705 c
PP test	−68.0028 c	−65.1794 c	−80.0609 c	−79.7853 c	−76.6733 c
KPSS test	0.0788	0.1100	0.1916	0.1176	0.2784

Test critical values	1% level	−3.4315
	5% level	−2.8619
	10% level	−2.5670

Asymptotic critical values:	1% level	0.7390
	5% level	0.4630
	10% level	0.3470

Note: ^a significant at 10% level; ^b significant at 5% level; ^c significant at 1% level; ADF is Augmented Dickey–Fuller test; PP is Phillip – Perron test; KPSS test is Kwiatkowski-Phillips-Schmidt-Shin test; where.

+ ADF and PP tests give the Null hypothesis ($H_0$): “the stock return series is non-stationary”, where.

+ KPSS test give the Null hypothesis ($H_0$): “the stock return series is stationary”, where.