Page 57 - IILMGSM Journal_Management Perspective

Table 4: Co Integration Test Results

Panel A: Total Period 1994- 2008

Variables Eigenvalue Likelihood Variables Eigenvalue Likelihood Variables Eigenvalue Likelihood
ratio ratio ratio
CM –CP
CM –CD 0.1308 27.1791** CP- DR 0.1626 19.7816* MIBOR-NIFTY 0.1271 15.4379*
CM – MIBOR
CM – TBILL 0.1154 24.5973** CP – NIFTY 0.0290 8.9212 MIBOR-ER 0.1448 19.9424*
CM- PLR
CM – DR 0.1447 23.0396** CP- ER 0.0957 20.2759** TBILL-PLR 0.0741 8.9575
CM - NIFTY
CM – ER 0.1537 31.8958** CD – MIBOR 0.1346 16.0766* TBILL-DR 0.1209 15.9749*
CP-CD
CP – MIBOR 0.1057 12.3443 CD-TBILL 0.0542 12.1390 TBILL-NIFTY 0.0251 5.5325
CP- TBILL
CP- PLR 0.1813 22.6035** CD - PLR 0.0862 9.93852 TBILL-ER 0.0800 17.4729*

0.0717 14.9829 CD – DR 0.2441 30.5610** PLR-DR 0.0424 5.9728

0.1198 25.5981** CD – NIFTY 0.0259 7.7133 PLR-NIFTY 0.0844 12.1934

0.0604 14.0344 CD- ER 0.0876 19.0446* PLR-ER 0.0539 7.7994
0.1487 17.3893* MIBOR – TBILL 0.1946 27.326** DR-NIFTY 0.0983 15.1284

0.0651 14.252 MIBOR- PLR 0.1224 14.347 DR-ER 0.1135 15.7345*

0.0603 6.8605 MIBOR- DR 0.2722 34.895** NIFTY-ER 0.0246 4.9710