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