Unconditional

Independence

Conditional

1% (LR_uc)

5% (LR_uc)

1% (LR_ind)

5% (LR_ind)

1% (LR_cd)

5% (LR_cd)

S & P500

0.081

0.224

4.45*

0.479

4.53

0.704

FTSE100

3.701*

1.371

0.368

0.0001

4.070

1.371

NIKKEI225

1.951

0.003

0.552

0.904

2.503

0.907

DAX

1.064

2.296

0.700

0.776

1.765

3.072

S & P/TSX

0.721*

0.148

12.84*

16.01*

13.56*

16.15*

CAC40

3.071*

0.224

10.51*

0.479

13.59

0.704

SM

1.064

2.043

0.700

0.052

1.765

2.095