Table 3 Results of pairwise cointegration test
S. No. | V1 | V2 | Graphical cointegration | Direct cointegration | Lag length as per VAR | VAR based on cointegration (JJ test) |
|---|---|---|---|---|---|---|
1 | CSE | SSE_P | No | No | 3 | Yes (Trace) |
2 | SEN_P | No | No | 8 | No | |
3 | DFM_P | No | No | 3 | No | |
4 | MLY_P | No | No | 3, 5 | No | |
5 | STI_P | No | No | 8 | No | |
6 | SPX_P | No | No | 8 | No | |
7 | UKX_P | No | No | 8 | No | |
8 | DAX_P | Yes | Yes | 3 | Yes (trace & max-eigen) | |
9 | FTSEMIB_P | Yes | Yes | 7 | Yes (trace & max-eigen) |