Effects of information related to the Russia-Ukraine conflict on stock volatility: An EGARCH approach

Figures & data

Table 1. Stock market indices

Index	State
AEX	Netherland
ASX	Australia
ATHEX	Greece
ATX	Austria
BEL20	Belgium
BELEX 15	Serbia
BET	Romania
BIRS	Bosnia and Herzegovina
BOVESPA	Brazil
BUX	Hungary
CAC40	France
CROBEX	Croatia
DAX40	Germany
FTSE MIB	Italy
FTSE 250	United Kingdom
HEX	Finland
IBEX	Spain
ICEX	Iceland
ISEQ	Ireland
JTOPI	South Africa
NIKKEI	Japan
OMX Copenhagen 20	Denmark
OMX Riga	Latvia
OMX Stockholm	Sweden
OMX Tallinn	Estonia
OMX Vilnius	Lithuania
OSEAX	Norway
PSI20	Portugal
PX	Czech Republic
RTS	Russian Federation
SAX	Slovakia
SBITOP	Slovenia
SHC	China
SMI	Switzerland
SOFIX	Bulgaria
SP500	USA
STI	Singapore
TADAWUL 30	Saudi Arabia
WIG20	Poland
XU100	Turkey

Figure 1. Dynamics of keywords during the analyzed period.

Table 2. EGARCH results

Index	Coefficient	Standard error	z-Statistic	Probability
AEX	2.35E–06	6.88E–07	3.4232	.0006
ASX	1.28E–05	4.26E–06	2.996803	.0027
ATHEX	−2.40E–05	1.12E–05	−2.1366	.0326
ATX	2.58E–05	2.26E–05	1.1406	.2540
BEL 20	−1.57E–05	6.10E–06	−2.5760	.0100
BELEX 15	−1.34E–05	3.03E–06	−4.4226	.0000
BET	−3.29E–05	9.49E–06	−3.4644	.0005
BIRS	−2.40E–05	4.18E–06	−5.7529	.0000
BOVESPA	8.76E–07	1.74E–05	0.0503	.9599
BUX	−3.64E–05	1.68E–05	−2.1730	.0298
CAC 40	−4.50E–05	8.14E–06	−5.5314	.0000
CROBEX	−2.69E–05	2.81E–06	−9.5911	.0000
DAX 40	−3.94E–05	1.10E–05	−3.5823	.0003
FTSE MIB	−3.67E–05	6.97E–06	−5.2621	.0000
FTSE 250	−2.07E–05	1.03E–05	−1.9997	.0455
HEX	−4.64E–05	1.07E–05	−4.3347	.0000
IBEX	−2.64E–05	1.06E–05	−2.4891	.0128
ICEX	0.000003	2.61E–06	1.2611	.2073
ISEQ	−3.81E–05	8.14E–06	−4.6885	.0000
JTOPI	−3.89E–06	1.53E–05	−0.2543	.7992
NIKKEI	−6.60E–06	8.18E–06	−0.8070	.4196
OMX COPENHAGEN	2.07E–05	1.48E–05	1.4020	.1609
OMX RIGA	−3.00E–05	2.52E–06	−11.9226	.0000
OMX STOCKHOLM	−2.08E–05	1.05E–05	−1.9773	.0480
OMX TALLINN	−1.44E–05	7.95E–06	−1.8088	.0705
OMX VILNIUS	3.58E–06	2.39E–06	1.4984	.1340
OSEAX	−8.67E–06	7.98E–06	−1.0862	.2774
PSI 20	7.23E–06	1.04E–05	0.6963	.4862
PX	−1.77E–05	1.39E–05	−1.2725	.2032
RTS	6.69E–05	7.33E–05	0.9120	.3618
SAX	−2.67E–06	5.10E–06	−0.5239	.6003
SBITOP	−4.22E–05	7.49E–06	−5.6423	.0000
SHC	−8.50E–06	1.82E–06	−4.6680	.0000
SMI	1.35E–05	3.71E–06	3.6469	.0003
SOFIX	−1.28E–05	7.85E–06	−1.6347	.1021
SP 500	−8.81E–07	1.74E–05	−0.0506	.9596
STI	−1.39E–05	5.15E–06	−2.6974	.0070
TADAWUL 30	2.05E–08	7.01E–06	0.0029	.9977
WIG20	−4.61E–05	1.50E–05	−3.0757	.0021
XU 100	−5.04E–05	2.82E–05	−1.7882	.0737

Figure 2. NIL.

Figure 2. Daily index returns during the analyzed period.

Table 3. Values of coefficients in the EGARCH model

Index	Coefficient
	${\alpha }_0$	$\alpha$	$\gamma$	$\beta$
AEX	−6.9904	−2.5952	−1.0215	0.1698
ASX	−11.91087	−1.528558	−2.144349	−0.143220
ATHEX	−10.9941	−0.9424	0.2763	−0.1416
ATX	−6.5132	0.8536	−0.1710	0.4229
BEL 20	−12.3812	2.0626	0.1089	0.0675
BELEX 15	−5.2456	1.2281	−0.1891	0.6438
BET	−18.9049	1.2976	0.1398	−0.7248
BIRS	−2.4896	−0.8460	0.4451	0.7241
BOVESPA	−11.0105	0.4064	−0.3520	−0.0465
BUX	−1.8772	0.0518	−0.1734	0.8136
CAC 40	−12.0017	1.6260	−0.2896	0.0044
CROBEX	−6.492775	−1.8319	0.5753	0.3249
DAX 40	−7.2118	0.4647	−0.2558	0.3532
FTSE MIB	−7.4833	1.1579	0.2281	0.3736
FTSE 250	−6.0266	0.1495	0.0649	0.4344
HEX	−9.4523	1.3747	−0.2745	0.2241
IBEX	−11.3658	0.5350	−0.1417	−0.0262
ICEX	−7.0494	−2.7670	−1.4680	0.1451
ISEQ	−8.8804	0.3978	0.2020	0.1567
JTOPI	−7.7923	−0.0879	0.3807	0.2444
NIKKEI	−1.6992	−0.8203	−0.1763	0.7804
OMX COPENHAGEN 20	−7.2326	0.6086	−0.0687	0.3476
OMX RIGA	−7.7407	2.9426	−0.0495	0.5074
OMX STOCKHOLM	−10.3370	0.2039	−0.0099	0.0275
OMX TALLINN	−0.9988	−0.5611	−0.2263	0.8702
OMX VILNIUS	−20.5940	1.5520	−0.3629	−0.5517
OSEAX	−18.7627	0.6680	−0.0336	−0.6510
PSI 20	−2.5848	−0.8671	−0.4459	0.6981
PX	−0.3326	−0.3977	−0.3205	0.9368
RTS	−7.4643	0.9749	−0.8891	0.2004
SAX	−11.9083	0.2607	0.2250	0.0093
SBITOP	−1.0844	−0.4481	−0.5313	0.8591
SHC	−6.3626	−2.1042	−0.6984	0.2665
SMI	−9.0473	−1.7263	−1.5094	0.0767
SOFIX	0.7690	−0.1511	−0.1977	1.0594
SP 500	−7.1488	0.6093	−0.6197	0.3503
STI	−1.8058	0.0767	−0.5468	0.8442
TADAWUL 30	−4.7086	−1.4818	0.0898	0.4073
WIG20	−11.3209	0.63511	0.2098	−0.0850
XU 100	−2.1774	0.3357	−0.2019	0.8093

Table

Index	Mean	Median	Maximum	Minimum	Standard deviation	Skewness	Kurtosis	Jarque-Bera	Probability
AEX	−0.0006	−0.0008	0.0120	−0.0160	0.0055	−0.2340	3.4718	0.9570	0.6197
ASX	−0.0005	−0.001	0.0087	−0.0171	0.0046	−0.8504	4.7066	12.578	0.0019
ATHEX	0.0001	0.0015	0.0110	−0.0242	0.0068	−1.1114	4.9491	18.936	0.0001
ATX	−0.0007	−0.0004	0.0138	−0.0292	0.0078	−1.0037	5.0085	17.472	0.0002
BEL 20	−0.0006	−0.0015	0.0123	−0.0154	0.0044	−0.2116	5.0064	9.1108	0.0105
BELEX 15	0.0000	0.0000	0.0079	−0.0097	0.0032	−0.1279	4.2380	3.4625	0.1771
BET	−0.0004	−0.0001	0.0116	−0.0247	0.0066	−0.9616	5.3021	19.496	0.0001
BIRS	0.0009	0.0002	0.0272	−0.0081	0.0060	2.1475	10.088	148.81	0.0000
BOVESPA	0.0001	0.0005	0.0136	−0.0138	0.0067	−0.0377	2.2134	1.3529	0.5084
BUX	−0.0006	0.0005	0.0133	−0.0257	0.0078	−0.7939	4.3123	9.1938	0.0101
CAC 40	−0.0004	−0.0001	0.0112	−0.0216	0.0056	−0.9863	5.4831	21.790	0.0000
CROBEX	−0.0003	0.0004	0.0075	−0.0118	0.0034	−1.0601	5.1295	19.566	0.0001
DAX 40	−0.0006	−0.0003	0.0112	−0.0213	0.0057	−0.7044	5.2215	14.992	0.0006
FTSE MIB	−0.0007	0.0003	0.0109	−0.0275	0.0064	−1.3277	7.4102	57.418	0.0000
FTSE 250	−0.0010	−0.0013	0.0134	−0.0151	0.0056	0.1497	3.2769	0.3602	0.8352
HEX	−0.0007	−0.0007	0.0128	−0.0232	0.0058	−0.7290	6.0163	24.318	0.0000
IBEX	−0.0002	−0.0006	0.0106	−0.0189	0.0052	−0.5879	5.0094	11.744	0.0028
ICEX	−0.0008	−0.0008	0.0127	−0.0124	0.0054	0.1271	2.8555	0.1853	0.9115
ISEQ	−0.0007	−0.0011	0.0134	−0.0257	0.0070	−0.6907	4.6858	10.293	0.0058
JTOPI	−0.0002	0.0009	0.0114	−0.0165	0.0057	−0.3959	3.2421	1.4853	0.4759
NIKKEI	−0.0003	−0.0005	0.0128	−0.0138	0.0054	0.2668	3.1830	0.6894	0.7084
OMX Copenhagen 20	−0.0003	0.0008	0.0124	−0.0148	0.0066	−0.4076	2.3806	2.2715	0.3212
OMX RIGA	−0.0003	−0.0004	0.0256	−0.0247	0.0068	−0.0015	8.5943	67.809	0.0000
OMX Stockholm	−0.0008	−0.0004	0.0107	−0.0151	0.0058	−0.0251	2.6317	0.2994	0.8610
OMX Tallinn	−0.0006	−0.0005	0.0081	−0.0140	0.0046	−0.5252	3.6585	3.3296	0.1892
OMX Vilnius	−0.0001	0.0001	0.0051	−0.0130	0.0031	−1.5273	7.4196	62.537	0.0000
OSEAX	0.0001	−0.0001	0.0085	−0.0118	0.0049	−0.0960	2.2237	1.3854	0.5002
PSI 20	0.0000	−0.0005	0.0105	−0.0126	0.0046	−0.0157	3.1647	0.0609	0.9700
PX	−0.0006	−0.0005	0.0084	−0.0114	0.0050	−0.2866	2.2874	1.8124	0.4041
RTS	−0.0041	−0.0010	0.0440	−0.1217	0.0246	−2.6511	13.499	282.45	0.0000
SAX	−0.0007	0.0000	0.0059	−0.0111	0.0031	−1.0979	5.0058	19.164	0.0001
SBITOP	−0.0008	−0.0003	0.0164	−0.0178	0.0057	−0.0306	4.4299	4.4382	0.1087
SHC	−0.0008	−0.0011	0.0104	−0.0106	0.0046	−0.1338	2.6354	0.4261	0.8081
SMI	−0.0008	−0.0006	0.0116	−0.0118	0.0046	−0.0996	3.6644	1.0424	0.5938
SOFIX	−0.0003	−0.0005	0.0079	−0.0139	0.0037	−0.6396	5.4405	16.450	0.0003
SP 500	−0.0008	−0.0021	0.0156	−0.0146	0.0068	0.4470	2.6931	1.9356	0.3799
STI	0.0002	0.0001	0.0086	−0.0080	0.0039	−0.0194	2.4452	0.6701	0.7153
TADAWUL 30	−0.0005	0.0000	0.0175	−0.0205	0.0077	−0.1788	3.3791	0.5773	0.7493
WIG20	−0.0010	0.0009	0.0149	−0.0168	0.0079	−0.0825	2.3090	1.0934	0.5788
XU 100	0.0040	0.0039	0.0230	−0.0107	0.0078	0.1158	2.3281	1.0944	0.5786

Table

ADF	t-Statistic	Probability*	ADF	t-Statistic	Probability*
AEX	−11.2125	0.0000	ASX	−7.0277.	0.0000
1% level	−3.5683		1% level	−3.5744.
5% level	−2.9211		5% level	−2.9238
10% level	−2.5985		10% level	−2.5999
ATHEX	−8.3036	0.0000	ATX	−8.4506	0.0000
1% level	−3.5713		1% level	−3.5683
5% level	−2.9224		5% level	−2.9211
10% level	−2.5992		10% level	−2.5985
BEL 20	−8.7644	0.0000	BELEX 15	−5.8366	0.0000
1% level	−3.5713		1% level	−3.5777
5% level	−2.9224		5% level	−2.9251
10% level	−2.5992		10% level	−2.6006
BET	−9.9057	0.0000	BIRS	−22.1583	0.0001
1% level	−3.5713		1% level	−3.5683
5% level	−2.9224		5% level	−2.9211
10% level	−2.5992		10% level	−2.5985
BOVESPA	−14.8019	0.0000	BUX	−7.7699	0.0000
1% level	−3.5683		1% level	−3.5713
5% level	−2.9211		5% level	−2.9224
10% level	−2.5985		10% level	−2.5992
CAC 40	−10.5630	0.0000	CROBEX	−8.4091	0.0000
1% level	−3.5683		1% level	−3.5713
5% level	−2.9211		5% level	−2.9224
10% level	−2.5985		10% level	−2.5992
DAX 40	−10.0711	0.0000	FTSE MIB	−10.3509	0.0000
1% level	−3.5683		1% level	−3.5683
5% level	−2.9211		5% level	−2.9211
10% level	−2.5985		10% level	−2.5985
FTSE 250	−11.1700	0.0000	HEX	−8.9629	0.0000
1% level	−3.5683		1% level	−3.5713
5% level	−2.9211		5% level	−2.9224
10% level	−2.5985		10% level	−2.5992
IBEX	−7.6068	0.0000	ICEX	−8.2635	0.0000
1% level	−3.5744		1% level	−3.5713
5% level	−2.9237		5% level	−2.9224
10% level	−2.5999		10% level	−2.5992
ISEQ	−10.6396	0.0000	JTOPI	−13.8053	0.0000
1% level	−3.5683		1% level	−3.5683
5% level	−2.9211		5% level	−2.9211
10% level	−2.5985		10% level	−2.5985
NIKKEI	−7.2283	0.0000	OMX COPENHAGEN 20	−10.4174	0.0000
1% level	−3.5744		1% level	−3.5713
5% level	−2.9237		5% level	−2.9224
10% level	−2.5999		10% level	−2.5992
OMX RIGA	−7.8353	0.0000	OMX STOCKHOLM	−8.4159	0.0000
1% level	−3.5744		1% level	−3.5713
5% level	−2.9237		5% level	−2.9224
10% level	−2.5999		10% level	−2.5992
OMX TALLINN	−9.4194	0.0000	OMX VILNIUS	−8.3250	0.0000
1% level	−3.5713		1% level	−3.5683
5% level	−2.9224		5% level	−2.9211
10% level	−2.5992		10% level	−2.5985
OSEAX	−9.2137	0.0000	PSI 20	−7.6929	0.0000
1% level	−3.5713		1% level	−3.5713
5% level	−2.9224		5% level	−2.9224
10% level	−2.5992		10% level	−2.5992
PX	−5.2077	0.0001	RTS	−8.6673	0.0000
1% level	−3.5885		1% level	−3.5811
5% level	−2.9297		5% level	−2.9266
10% level	−2.6030		10% level	−2.6014
SAX	−8.7146	0.0000	SBITOP	−7.7351	0.0000
1% level	−3.5713		1% level	−3.5713
5% level	−2.9224		5% level	−2.9224
10% level	−2.5992		10% level	−2.5992
SHC	−8.5262	0.0000	SMI	−7.2421	0.0000
1% level	−3.5777		1% level	−3.5744
5% level	−2.9251		5% level	−2.9237
10% level	−2.6006		10% level	−2.5999
SOFIX	−9.5536	0.0000	SP 500	−7.4251	0.0000
1% level	−3.5683		1% level	−3.5744
5% level	−2.9211		5% level	−2.9237
10% level	−2.5985		10% level	−2.5999
STI	−8.9980	0.0000	TADAWUL 30	−8.4627	0.0000
1% level	−3.5683		1% level	−3.5744
5% level	−2.9211		5% level	−2.9237
10% level	−2.5985		10% level	−2.5999
WIG20	−10.5395	0.0000	XU 100	−12.340	0.0000
1% level	−3.5683		1% level	−3.5683
5% level	−2.9211		5% level	−2.9211
10% level	−2.5985		10% level	−2.5985

ADF: Augmented Dickey—Fuller

*Author’s calculations using EVIEWS 10.

Table

Null Hypothesis	F-Statistic	Probability	Causality direction
GSVI does not Granger Cause AEX	4.1668	0.0219	Unidirectional
AEX does not Granger Cause GT	0.5681	0.5706	No causality
GSVI does not Granger Cause ASX	0.4021.	0.5290.	No causality
ASX does not Granger Cause GT	0.2678	0.6072	No causality
GSVI does not Granger Cause ATHEX	3.7170	0.0598	No causality
ATHEX does not Granger Cause GT	0.3383	0.5635	No causality
GSVI does not Granger Cause ATX	4.1561	0.0221	Unidirectional
ATX does not Granger Cause GT	0.4701	0.6279	No causality
GSVI does not Granger Cause BEL 20	7.42023	0.0004	Unidirectional
BEL 20 does not Granger Cause GT	0.3953	0.6758	No causality
GSVI does not Granger Cause BELEX 15	1.2424	0.2706	No causality
BELEX 15 does not Granger Cause GT	0.5844	0.4483	No causality
GSVI does not Granger Cause BET	6.3543	0.0037	Unidirectional
BET does not Granger Cause GT	0.5281	0.5933	No causality
GSVI does not Granger Cause BIRS	0.1576	0.9242	No causality
BIRS does not Granger Cause GT	0.8611	0.4688	No causality
GSVI does not Granger Cause BOVESPA	0.1037	0.7488	No causality
BOVESPA does not Granger Cause GT	0.0896	0.7659	No causality
GSVI does not Granger Cause BUX	4.9885	0.0110	Unidirectional
BUX does not Granger Cause GT	0.3552	0.7030	No causality
GSVI does not Granger Cause CAC 40	7.8832	0.0012	Unidirectional
CAC 40 does not Granger Cause GT	0.1441	0.8662	No causality
GSVI does not Granger Cause CROBEX	3.3301	0.0448	Unidirectional
CROBEX does not Granger Cause GT	0.4194	0.6600	No causality
GSVI does not Granger Cause DAX 40	12.2318	6.0E–05	Unidirectional
DAX 40 does not Granger Cause GT	0.0334	0.9672	No causality
GSVI does not Granger Cause FTSE MIB	10.7144	0.0002	Unidirectional
FTSE MIB does not Granger Cause GT	0.3423	0.7120	No causality
GSVI does not Granger Cause FTSE 250	6.8427	0.0025	Unidirectional
FTSE 250 does not Granger Cause GT	0.0627	0.9392	No causality
GSVI does not Granger Cause HEX	9.5284	0.0004	Unidirectional
HEX does not Granger Cause GT	0.5669	0.5713	No causality
GSVI does not Granger Cause IBEX	9.7573	0.0003	Unidirectional
IBEX does not Granger Cause GT	1.1052	0.3399	No causality
GSVI does not Granger Cause ICEX	0.7920	0.3779	No causality
ICEX does not Granger Cause GT	0.0026	0.9589	Unidirectional
GSVI does not Granger Cause ISEQ	11.9722	7.0E–05	Unidirectional
ISEQ does not Granger Cause GT	0.4629	0.6324	No causality
GSVI does not Granger Cause JTOPI	0.0003	0.9844	No causality
JTOPI does not Granger Cause GT	0.0612	0.8056	No causality
GSVI does not Granger Cause NIKKEI	3.7009	0.0189	Unidirectional
NIKKEI does not Granger Cause GT	1.0221	0.3925	No causality
GSVI does not Granger Cause OMX COPENHAGEN 20	2.8774	0.0963	No causality
OMX COPENHAGEN_20 does not Granger Cause GT	0.0769	0.7826	No causality
GSVI does not Granger Cause OMX RIGA	7.5184	0.0015	Unidirectional
OMX RIGA does not Granger Cause GT	0.0879	0.9160	No causality
GSVI does not Granger Cause OMX STOCKHOLM	4.8444	0.0124	Unidirectional
OMX STOCKHOLM does not Granger Cause GT	0.5767	0.5658	No causality
GSVI does not Granger Cause OMX TALLINN	1.9460	0.1547	No causality
OMX TALLINN does not Granger Cause GT	1.5455	0.2243	No causality
GSVI does not Granger Cause OMX VILNIUS	7.4180	0.0016	Unidirectional
OMX VILNIUS does not Granger Cause GT	0.9191	0.4062	No causality
GSVI does not Granger Cause OSEAX	0.5422	0.4651	No causality
OSEAX does not Granger Cause GT	1.2744	0.2645	No causality
GSVI does not Granger Cause PSI 20	3.2654	0.0474	Unidirectional
PSI 20 does not Granger Cause GT	0.3571	0.7016	No causality
GSVI does not Granger Cause PX	0.1544	0.6961	No causality
PX does not Granger Cause GT	0.2557	0.6154	No causality
GSVI does not Granger Cause RTS	12.8977	4.0E–05	Unidirectional
RTS does not Granger Cause GT	0.0196	0.9805	No causality
GSVI does not Granger Cause SAX	0.6075	0.4395	No causality
SAX does not Granger Cause GT	0.0346	0.8531	No causality
GSVI does not Granger Cause SBITOP	0.0514	0.8215	No causality
SBITOP does not Granger Cause GT	0.4330	0.5137	No causality
GSVI does not Granger Cause SHC	0.3339	0.5662	No causality
SHC does not Granger Cause GT	0.1293	0.7208	No causality
GSVI does not Granger Cause SMI	3.8183	0.0294	Unidirectional
SMI does not Granger Cause GT	0.7621	0.4726	No causality
GSVI does not Granger Cause SOFIX	5.6488	0.0065	Unidirectional
SOFIX does not Granger Cause GT	0.1149	0.8917	No causality
GSVI does not Granger Cause SP 500	2.0771	0.1371	No causality
SP 500 does not Granger Cause GT	0.3759	0.6888	No causality
GSVI does not Granger Cause STI	0.2052	0.6525	No causality
STI does not Granger Cause GT	0.3694	0.5462	No causality
GSVI does not Granger Cause TADAWUL 30	1.2199	0.2750	No causality
TADAWUL 30 does not Granger Cause GT	0.1391	0.7108	No causality
GSVI does not Granger Cause WIG20	0.7916	0.3780	No causality
WIG20 does not Granger Cause GT	0.0126	0.9110	No causality
GSVI does not Granger Cause XU 100	0.0002	0.9869	No causality
XU 100 does not Granger Cause GT	0.0271	0.8699	No causality

Source: * Indicates significance at the 1 and 5% levels. Authors’ calculations using EVIEWS.

Table

Index	Lag	LogL	LR	FPE	AIC	SC	HQ
AEX	2	−72.1985	8.729695	0.0983*	3.3550*	3.7411	3.5015
ASX	1	−65.4824	20.26937*	0.6741*	2.9784*	3.2123*	3.0668*
ATHEX	1	−90.3012	14.69496*	0.1746*	3.9306*	4.1623*	4.0185*
ATX	2	−87.4799	11.83739*	0.1834*	3.9787*	4.3648	4.1252*
BEL 20	2	−58.8863	18.51113*	0.0571*	2.8116*	3.1977*	2.9581*
BELEX 15	1	−48.6310	20.26255*	0.0318*	2.2298*	2.4614*	2.3177*
BET	2	−78.6244	12.25451*	0.1278*	3.6173*	4.0034	3.7638*
BIRS	3	−55.7877	8.762414	0.0594*	2.8484*	3.3889	3.0535
BOVESPA	1	−93.0100	16.44445*	0.1951*	4.0412*	4.2728*	4.1291*
BUX	2	−90.6313	8.181011	0.2086*	4.1074*	4.4934	4.2538
CAC 40	2	−64.6114	13.31190*	0.0721*	3.0453*	3.4314	3.1918*
CROBEX	2	−50.1960	7.261272	0.0400*	2.4569*	2.8430	2.6034
DEX 40	2	−56.3300	20.36914*	0.0514*	2.7073*	3.0934*	2.8538*
FTSE MIB	2	−71.0267	17.26063*	0.0937*	3.3072*	3.6932*	3.4536*
FTSE 250	2	−77.8506	12.20921*	0.1238*	3.5857*	3.9718	3.7322*
HEX	2	−71.2234	18.64927*	0.0945*	3.3152*	3.7013*	3.4617*
IBEX	2	−63.6564	20.22419*	0.0693*	3.0063*	3.3924*	3.1528*
ICEX	1	−86.3979	10.45902*	0.1489*	3.7713*	4.0029	3.8592*
ISEQ	2	−90.5443	17.36646*	0.2079*	4.1038*	4.4899*	4.2503*
JTOPI	1	−89.2291	18.55082*	0.1672*	3.8869*	4.1185*	3.9747*
NIKKEI	3	−64.5535	10.25288*	0.0849*	3.2062*	3.7467	3.4113
OMX Copenhagen 20	1	−85.6507	19.66714*	0.1444*	3.7408*	3.9724*	3.8287*
OMX Riga	2	−82.7905	10.73672*	0.1515*	3.7873*	4.1734	3.9338*
OMX Stockholm	2	−78.5197	9.353702	0.1272*	3.6130*	3.9991	3.7595
OMX Tallinn	2	−62.6362	13.74771*	0.0665*	2.9647*	3.3508	3.1112*
OMX Vilnius	2	−43.29337	14.44153*	0.0302*	2.1752*	2.5613*	2.3217*
OSEAX	1	−76.1986	23.23401*	0.0982*	3.3550*	3.5866*	3.4429*
PSI 20	2	−58.1024	10.26002*	0.0553*	2.7796*	3.1657	2.9261*
PX	1	−77.9234	19.00575*	0.1053*	3.4254*	3.6570*	3.5133*
RTS	2	−115.470	7.862703	0.8034*	5.4552*	5.8527	5.6041
SAX	1	−52.1380	16.78114*	0.0367*	2.3729*	2.6046*	2.4608*
SBITOP	1	−76.9024	18.54938*	0.1010*	3.3837*	3.6154*	3.4716*
SHC	1	−78.5544	10.69530*	0.1252*	3.5980*	3.8342	3.6869*
SMI	2	−68.4830	8.948500	0.0845*	3.2033*	3.5894	3.3498
SOFIX	2	−51.7885	11.94559*	0.0427*	2.5219*	2.9080	2.6684*
SP 500	2	−81.8450	7.453548	0.1457*	3.7487*	4.1348	3.8952
STI	1	−54.9033	16.42851*	0.0411*	2.4858*	2.7175*	2.5737*
TADAWUL 30	1	−87.4961	9.872251*	0.1686*	3.8956*	4.1295	3.9840
WIG20	1	−92.9508	25.09179*	0.1946*	4.0388*	4.2704*	4.1266*
XU 100	1	−89.9636	9.419330	0.1722*	3.9168*	4.1485	4.0047

*indicates lag order selected by the criterion; LR: sequential modified LR test statistic (each test at 5% level); FPE: Final prediction error; AIC: Akaike information criterion; SC: Schwarz information criterion; HQ: Hannan-Quinn information criterion.

Author’s calculations using EVIEWS.

Table

	Hypothesized No. of CE(s)	Unrestricted Cointegration Rank Test (Trace)				Unrestricted Cointegration Rank Test (Maximum Eigenvalue)				Cointegrating Equation(s): Log likelihood
		Eigenvalue	Trace Statistic	0.05 Critical Value	Prob.**	Eigenvalue	Trace Statistic	0.05 Critical Value	Prob.**
AEX-GSVI	None *	0.2981	23.767	15.495	0.0023	0.2981	17.344	14.265	0.0158	−74.078
	At most 1 *	0.1229	6.4228	3.8415	0.0113	0.1229	6.4228	3.8415	0.0113
ASX-GSVI	None *	0.3584	31.883	15.495	0.0001	0.3584	22.189	14.265	0.0023	−71.231
	At most 1 *	0.1762	9.6942	3.8415	0.0018	0.1762	9.694	3.8415	0.0018
ATHEX-GSVI	None *	0.4127	39.168	15.495	0.0000	0.4127	26.608	14.265	0.0004	−93.617
	At most 1 *	0.2221	12.560	3.8415	0.0004	0.2221	12.560	3.8415	0.0004
ATX-GSVI	None *	0.3627	27.235	15.495	0.0006	0.3627	22.079	14.265	0.0024	−88.348
	At most 1 *	0.0999	5.1557	3.8415	0.0232	0.0999	5.1557	3.8415	0.0232
BEL20-GSVI	None *	0.3322	25.759	15.495	0.0010	0.3322	19.788	14.265	0.0061	−61.195
	At most 1 *	0.1147	5.9706	3.8415	0.0145	0.1147	5.9706	3.8415	0.0145
BELEX 15-GSVI	None *	0.3444	29.578	15.495	0.0002	0.3444	21.113	14.265	0.0036	−54.944
	At most 1 *	0.1557	8.4652	3.8415	0.0036	0.1557	8.4652	3.8415	0.0036
BET-GSVI	None *	0.2439	20.431	15.495	0.0083	0.2439	13.698	14.265	0.0613	−80.130
	At most 1 *	0.1284	6.7332	3.8415	0.0095	0.1284	6.7332	3.8415	0.0095
BIRS-GSVI	None *	0.3421	28.324	15.495	0.0004	0.3421	20.094	14.265	0.0054	−52.721
	At most 1 *	0.1576	8.2295	3.8415	0.0041	0.1576	8.2295	3.8415	0.0041
BOVESPA-GSVI	None *	0.2456	26.450	15.495	0.0008	0.2456	14.093	14.265	0.0532	−98.819
	At most 1 *	0.2190	12.356	3.8415	0.0004	0.2190	12.356	3.8415	0.0004
BUX-GSVI	None *	0.2736	25.415	15.495	0.0012	0.2736	15.666	14.265	0.0298	−94.744
	At most 1 *	0.1804	9.7492	3.8415	0.0018	0.1804	9.7492	3.8415	0.0018
CAC 40-GSVI	None *	0.2685	22.464	15.495	0.0038	0.2685	15.320	14.265	0.0339	−67.225
	At most 1 *	0.1357	7.1441	3.8415	0.0075	0.1357	7.1441	3.8415	0.0075
CROBEX-GSVI	None *	0.3328	28.631	15.495	0.0003	0.3328	19.826	14.265	0.0060	−52.870
	At most 1 *	0.1645	8.8058	3.8415	0.0030	0.1645	8.8058	3.8415	0.0030
DAX 40-GSVI	None *	0.2348	20.146	15.495	0.0092	0.2348	13.115	14.265	0.0753	−56.371
	At most 1 *	0.1337	7.0304	3.8415	0.0080	0.1337	7.0304	3.8415	0.0080
FTSE MIB-GSVI	None *	0.3028	24.912	15.495	0.0014	0.3028	17.675	14.265	0.0139	−74.397
	At most 1 *	0.1373	7.2369	3.8415	0.0071	0.1373	7.2369	3.8415	0.0071
FTSE 250-GSVI	None *	0.2778	23.800	15.495	0.0022	0.2778	15.944	14.265	0.0269	−78.893
	At most 1 *	0.1481	7.8559	3.8415	0.0051	0.1481	7.8559	3.8415	0.0051
HEX-GSVI	None *	0.2582	21.530	15.495	0.0054	0.2582	14.636	14.265	0.0437	−72.417
	At most 1 *	0.1312	6.8934	3.8415	0.0086	0.1312	6.8934	3.8415	0.0086
IBEX-GSVI	None *	0.2935	25.825	15.495	0.0010	0.2935	17.026	14.265	0.0178	−66.970
	At most 1 *	0.1644	8.7984	3.8415	0.0030	0.1644	8.7984	3.8415	0.0030
ICEX-GSVI	None *	0.3851	30.333	15.495	0.0002	0.3851	24.316	14.265	0.0010	−87.606
	At most 1 *	0.1134	6.0179	3.8415	0.0142	0.1134	6.0179	3.8415	0.0142
ISEQ-GSVI	None *	0.2854	21.884	15.495	0.0047	0.2854	16.463	14.265	0.0221	−89.764
	At most 1 *	0.1047	5.4208	3.8415	0.0199	0.1047	5.4208	3.8415	0.0199
JTOPI-GSVI	None *	0.3341	31.684	15.495	0.0001	0.3341	20.331	14.265	0.0049	−94.277
	At most 1 *	0.2031	11.353	3.8415	0.0008	0.2031	11.353	3.8415	0.0008
NIKKEI-GSVI	None *	0.3045	23.964	15.495	0.0021	0.3045	17.429	14.265	0.0153	−64.893
	At most 1 *	0.1273	6.5349	3.8415	0.0106	0.1273	6.5349	3.8415	0.0106
OMX COPENHAGEN 20-GSVI	None *	0.4420	39.452	15.495	0.0000	0.4420	29.171	14.265	0.0001	−90.647
	At most 1 *	0.1859	10.281	3.8415	0.0013	0.1859	10.281	3.8415	0.0013
OMX Riga-GSVI	None *	0.3192	29.778	15.495	0.0002	0.3192	18.843	14.265	0.0088	−87.205
	At most 1 *	0.2000	10.935	3.8415	0.0009	0.2000	10.935	3.8415	0.0009
OMX Stockholm-GSVI	None *	0.2466	20.962	15.495	0.0068	0.2466	13.875	14.265	0.0575	−79.591
	At most 1 *	0.1347	7.0871	3.8415	0.0078	0.1347	7.0871	3.8415	0.0078
OMX Tallinn-GSVI	None *	0.3216	29.043	15.495	0.0003	0.3216	19.015	14.265	0.0082	−65.509
	At most 1 *	0.1851	10.028	3.8415	0.0015	0.1851	10.028	3.8415	0.0015
OMX Vilnius-GSVI	None *	0.2800	25.809	15.495	0.0010	0.2800	16.094	14.265	0.0254	−47.635
	At most 1 *	0.1799	9.7151	3.8415	0.0018	0.1799	9.7151	3.8415	0.0018
OSEAX-GSVI	None *	0.3995	38.013	15.495	0.0000	0.3995	25.501	14.265	0.0006	−81.332
	At most 1 *	0.2214	12.511	3.8415	0.0004	0.2214	12.511	3.8415	0.0004
PSI 20-GSVI	None *	0.2731	23.641	15.495	0.0024	0.2731	15.626	14.265	0.0303	−61.667
	At most 1 *	0.1509	8.0152	3.8415	0.0046	0.1509	8.0152	3.8415	0.0046
PX-GSVI	None *	0.3966	43.658	15.495	0.0000	0.3966	25.256	14.265	0.0006	−84.267
	At most 1 *	0.3079	18.401	3.8415	0.0000	0.3079	18.401	3.8415	0.0000
RTS-GSVI	None *	0.3155	28.381	15.495	0.0004	0.3155	17.438	14.265	0.0152	−119.602
	At most 1 *	0.2117	10.943	3.8415	0.0009	0.2117	10.943	3.8415	0.0009
SAX-GSVI	None *	0.4239	43.864	15.495	0.0000	0.4239	27.572	14.265	0.0002	−58.386
	At most 1 *	0.2781	16.292	3.8415	0.0001	0.2781	16.292	3.8415	0.0001
SBITOP-GSVI	None *	0.3956	40.094	15.495	0.0000	0.3956	25.175	14.265	0.0007	−82.835
	At most 1 *	0.2580	14.919	3.8415	0.0001	0.2580	14.919	3.8415	0.0001
SHC-GSVI	None *	0.3909	36.373	15.495	0.0000	0.3909	23.800	14.265	0.0012	−83.550
	At most 1 *	0.2304	12.572	3.8415	0.0004	0.2304	12.572	3.8415	0.0004
SMI-GSVI	None *	0.2780	25.556	15.495	0.0011	0.2780	15.962	14.265	0.0267	−72.460
	At most 1 *	0.1778	9.5937	3.8415	0.0020	0.1778	9.5937	3.8415	0.0020
SOFIX-GSVI	None *	0.4330	34.642	15.495	0.0000	0.4330	27.801	14.265	0.0002	−51.638
	At most 1 *	0.1303	6.8413	3.8415	0.0089	0.1303	6.8413	3.8415	0.0089
SP 500-GSVI	None *	0.3492	28.065	15.495	0.0004	0.3492	21.048	14.265	0.0037	−84.287
	At most 1 *	0.1334	7.0175	3.8415	0.0081	0.1334	7.0175	3.8415	0.0081
STI-GSVI	None *	0.3905	32.723	15.495	0.0001	0.3905	24.757	14.265	0.0008	−56.304
	At most 1 *	0.1473	7.9663	3.8415	0.0048	0.1473	7.9663	3.8415	0.0048
TADAWUL 30-GSVI	None *	0.3430	34.195	15.495	0.0000	0.3430	20.583	14.265	0.0044	−95.650
	At most 1 *	0.2425	13.612	3.8415	0.0002	0.2425	13.612	3.8415	0.0002
WIG20-GSVI	None *	0.3394	29.484	15.495	0.0002	0.3394	20.731	14.265	0.0042	−96.813
	At most 1 *	0.1606	8.7536	3.8415	0.0031	0.1606	8.7536	3.8415	0.0031
XU 100 GSVI	None *	0.3360	30.076	15.495	0.0002	0.3360	20.476	14.265	0.0046	−94.258
	At most 1 *	0.1747	9.5995	3.8415	0.0019	0.1747	9.5995	3.8415	0.0019

Trace test indicates two cointegrating eqn(s) at the 0.05 level. * Denotes rejection of the hypothesis at the 0.05 level. ** MacKinnon et al. (1999) p-values.

Author’s calculations using EVIEWS.

MacKinnon, J. G., Haug, A. A., & Michelis, L. (1999). Numerical distribution functions of likelihood ratio tests for Cointegration. Journal of Applied Econometrics, 14(5), 563–577. https://doi.org/10.1002/(SICI)1099-1255(199909/10)14:5<563:AID-JAE530>3.0.CO;2-R

 Web of Science ®Google Scholar

Data availability statement

The data presented in this study are available on reasonable request from the corresponding author.