Month

Number of

observations

Mean

Max

Min

ADF

GPH

GSP

(t-statistics)

(d value)

(d value)

Jan.

1560

55

195

0

−10.4543^*

0.6201

0.6568

Feb.

1482

57

160

1

−8.3468^*

0.5625

0.6194

Mar.

1794

67

206

3

−8.3348^*

0.5373

0.6121

Apr.

1560

57

186

13

−8.9120^*

0.5541

0.6630

May.

1638

62

179

5

−8.9724^*

0.5117

0.6138

Jun.

1716

65

190

4

−8.5986^*

0.4677

0.5749

Jul.

1560

66

183

1

−8.8776^*

0.5265

0.5968

Aug.

1794

105

257

9

−6.2128^*

0.6028

0.5980

Sep.

1638

97

225

29

−6.2058^*

0.6183

0.6754

Oct.

1638

94

232

2

−5.9833^*

0.6016

0.6858

Nov.

1638

78

186

1

−7.5528^*

0.6128

0.6561

Dec.

1638

59

172

7

−7.2939^*

0.5171

0.6365

Average

-

-

-

-

-

0.5610

0.6324