China Policy Journal Volume 1, Number 1, Fall 2018 | Page 47

China Policy Journal
Table 7. Johansen’s Test for Co-Integration Ranks
Logarithmic price variables
Hypotheses
H0: Rank=0
H1: Rank=1
H0: Rank=1
H1: Rank=2
CQ CEA & Brent Oil 6.687 1.255
HB CEA & Brent Oil 4.380 1.176
SH CEA & Brent Oil 8.859 1.715
CQ CEA & LNG 4.849 0.134
HB CEA & LNG 9.642 1.017
SH CEA & LNG 3.351 1.491
5% critical value 15.410 3.760
Note: ** denote significance at 5% level. Logarithmic prices were used for the Johansen’s co-integration
tests.
Table 8. Multivariate Regressions for Provincial Level ETSs
Guangdong ETS
Hubei ETS
Eq.1 Eq.2 Eq.3 Eq.1 Eq.2 Eq.3
L1. lnReturn t
0.089 0.082 0.090 −0.101 −0.102 −0.101
(0.080) (0.079) (0.082) (0.207) (0.210) (0.212)
L2.lnReturn t
−0.265*** −0.269*** −0.267*** −0.106 −0.098 −0.096
(0.080) (0.081) (0.081) (0.137) (0.139) (0.141)
L1D.lnBrent t
0.101 0.096 0.120 0.068 0.078 0.084
(0.158) (0.154) (0.160) (0.095) (0.101) (0.092)
L2D.lnBrent t
−0.058 −0.061 −0.067 −0.074 −0.075 −0.071
(0.164) (0.165) (0.166) (0.081) (0.082) (0.084)
L1D.lnCoal t
−1.433* −1.433* −1.545* 0.313 0.311 0.343
(0.786) (0.810) (0.838) (0.337) (0.348) (0.348)
L2D.lnCoal t
0.925 0.864 0.939 −0.116 −0.112 −0.143
(0.584) (0.588) (0.613) (0.351) (0.353) (0.348)
L1D.lnLNG t
0.548 −0.111
(0.487) (0.199)
L2D.lnLNG t
−0.031 0.161
(0.302) (0.246)
L1D.lnStock t
0.181 0.135 0.050 0.061
(0.253) (0.244) (0.110) (0.116)
L2D.lnStock t
0.082 0.092 −0.220 −0.234
(0.199) (0.203) (0.148) (0.146)
Break2014 −0.029 −0.034* −0.033 0.010 0.012 0.012
(0.020) (0.019) (0.020) (0.008) (0.009) (0.008)
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