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Table 5 Tests of ADF and KPSS

From: Building stock market resilience through digital transformation: using Google trends to analyze the impact of COVID-19 pandemic

Variable Definition ADF statistics KPSS statistics
Gt1 Google search index: coronavirus −2.3385 1.2101a
D (Gt1) Difference of Google search index: coronavirus −3.5195c 0.0991
Ot1 Google search index: oil −3.3784 0.7009b
D (Ot1) Difference of Google search index: oil −5.6083b 0.0439
Pt1 Day-on-day average price change for Group 1 −2.9110 0.1335
D (Pt1) Difference of day-on-day average price change for Group 1 −4.8725b 0.0752
Pt2 Day-on-day average price change for Group 2 −3.0845 0.1479
D (Pt2) Difference of day-on-day average price change for Group 2 −5.8872b 0.0687
Pt3 Day-on-day average price change for Group 3 −3.1117 0.1205
D (Pt3) Difference of day-on-day average price change for Group 3 −5.0339c 0.0864
  1. asignificant at 0.1% level; bsignificant at 1% level; csignificant at 5% level