Augmented Dickey Fuller (ADF) Test | Kwiatkowski ?Philips?Schmidt?Shin (KPSS) Test | ||||||
H0: Stock Return has a Unit Root | H0: Stock Return is Stationary | ||||||
Intercept | Trend and Intercept | Intercept | Trend and Intercept | ||||
Test Statistic | Probability | Test Statistic | Probability | Test Statistic | 1% Critical Value | Test Statistic | 1% Critical Value |
−52.0260* | 0.0000 | −52.0246 | 0.0000 | 0.174 | 0.739 | 0.133 | 0.216 |
Optimum Order of Lag is Zero | Optimum Order of Lag is Zero | Optimum Bandwidth is Nine | Optimum Bandwidth is Eight |