Variable

Stock Prices

Oil Prices

Level

1st Difference

Level

1^st difference

Level

1^st difference

Stock Prices (−1)

0.97

353.47^***

Oil Prices (−1)

85.66^***

6.97^***

Constant

2.44^**

1.92^*

3.77^***

−0.54

Break Dummy

−1.02

2.06^**

3.33^***

0.40

Intercept Break

−5.88^***

−0.96

−1.90^*

5.48^***

R-squared

0.90

0.08

0.98

0.16

Durbin-Watson stat.

1.88

2.03

1.96

2.00

ADF test stat.

−2.35

−20.49^***

−3.82

−15.42^***