Appendix A

Table A.1. Gregory and Hansen (1996): Approximate Asymptotic Critical Values for number of regressors (m = 1)

Level 0.01 0.025 0.05 0.1 0.975C -5.13 -4.83 -4.61 -4.34 -2.25C/T -5.45 -5.21 -4.99 -4.72 -2.72C/S -5.47 -5.19 -4.95 -4.68 -2.55

Table A.2. Augmented Dickey-Fuller Test for the period January 2012 - January 2016

1) CDS at levels (natural logarithms): p-values and t-statisticsNo constant term Constant Constant and Trend

Company name p-value t-stat p-value t-stat p-value t-statAirbus Group SE 0.271 -1.084 0.178 -2.361 0.956 -0.865Volvo AB 0.352 -0.828 0.228 -2.228 0.910 -1.181Akzo Nobel NV 0.271 -1.082 0.473 -1.573 0.737 -1.625Anglo American PLC 0.969 1.540 0.990 1.522 0.990 0.267AstraZeneca PLC 0.428 -0.591 0.618 -1.184 0.816 -1.439Atlantia SpA 0.092 -1.674 0.620 -1.178 0.972 -0.689BAE Systems PLC 0.198 -1.312 0.165 -2.396 0.899 -1.243BASF SE 0.297 -1.002 0.265 -2.128 0.990 -0.059Bayer AG 0.198 -1.314 0.134 -2.480 0.929 -1.062Bayerische Motoren Werke AG 0.429 -0.587 0.352 -1.896 0.986 -0.407Bouygues SA 0.178 -1.376 0.694 -0.982 0.449 -2.305Compagnie de Saint Gobain SA 0.333 -0.889 0.521 -1.443 0.827 -1.412Continental AG 0.022 -2.291 0.182 -2.350 0.939 -0.996Daimler AG 0.378 -0.747 0.313 -2.001 0.957 -0.852Koninklijke DSM NV 0.337 -0.876 0.069 -2.754 0.091 -3.183Lafargeholcim Ltd 0.527 -0.282 0.587 -1.266 0.990 1.261Lanxess AG 0.358 -0.811 0.314 -1.998 0.620 -1.901Linde AG 0.478 -0.435 0.554 -1.357 0.990 1.141PostNL NV 0.235 -1.197 0.774 -0.768 0.559 -2.045Rentokil Initial PLC 0.021 -2.324 0.866 -0.520 0.559 -2.046Rolls-Royce Holdings PLC 0.853 0.742 0.982 0.423 0.990 1.721Sanofi SA 0.189 -1.340 0.198 -2.309 0.907 -1.199Siemens AG 0.295 -1.007 0.387 -1.803 0.873 -1.304Solvay SA 0.407 -0.658 0.342 -1.924 0.990 0.767Valeo SA 0.193 -1.328 0.259 -2.146 0.937 -1.010Vinci SA 0.097 -1.638 0.549 -1.368 0.253 -2.769Volkswagen AG 0.587 -0.092 0.527 -1.429 0.947 -0.952Wendel SA 0.328 -0.906 0.421 -1.712 0.985 -0.428Accor SA 0.404 -0.668 0.276 -2.099 0.956 -0.861Electrolux AB 0.516 -0.314 0.298 -2.040 0.763 -1.563British American Tobacco PLC 0.459 -0.495 0.010 -3.661 0.064 -3.338Carlsberg A/S 0.456 -0.503 0.051 -2.863 0.163 -2.980LVMH Moet Hennessy Louis Vuitton SE 0.332 -0.893 0.342 -1.923 0.975 -0.646Marks and Spencer Group PLC 0.319 -0.934 0.385 -1.808 0.653 -1.823Nestle SA 0.400 -0.680 0.153 -2.428 0.932 -1.039Next PLC 0.107 -1.599 0.202 -2.297 0.680 -1.760Pernod Ricard SA 0.177 -1.379 0.149 -2.439 0.633 -1.870SABMiller PLC 0.101 -1.616 0.034 -3.037 0.045 -3.467Tate & Lyle PLC 0.514 -0.320 0.206 -2.287 0.152 -3.007

1

Unilever NV 0.367 -0.783 0.011 -3.421 0.261 -2.749BP PLC 0.670 0.168 0.623 -1.172 0.966 -0.754Centrica PLC 0.666 0.154 0.462 -1.602 0.671 -1.781E.ON SE 0.520 -0.303 0.103 -2.561 0.593 -1.965Electricite de France SA 0.466 -0.472 0.402 -1.763 0.990 -0.041Enbw Energie Baden Wuerttemberg AG 0.329 -0.901 0.079 -2.698 0.454 -2.294Enel SpA 0.225 -1.227 0.497 -1.508 0.839 -1.383Engie SA 0.390 -0.712 0.342 -1.923 0.990 0.141Eni SpA 0.465 -0.475 0.423 -1.706 0.971 -0.690Fortum Oyj 0.480 -0.427 0.010 -3.577 0.094 -3.165Gas Natural SDG SA 0.351 -0.833 0.600 -1.233 0.962 -0.800Iberdrola SA 0.295 -1.008 0.585 -1.271 0.687 -1.742National Grid PLC 0.390 -0.709 0.085 -2.663 0.375 -2.481Repsol SA 0.773 0.492 0.791 -0.722 0.990 -0.068Royal Dutch Shell PLC 0.722 0.331 0.869 -0.512 0.990 -0.260RWE AG 0.567 -0.155 0.253 -2.161 0.644 -1.845Statoil ASA 0.581 -0.112 0.578 -1.291 0.990 -0.205Total SA 0.624 0.024 0.550 -1.367 0.961 -0.807United Utilities Group PLC 0.578 -0.120 0.320 -1.981 0.480 -2.233Veolia Environnement VE SA 0.157 -1.441 0.361 -1.872 0.486 -2.218Aegon NV 0.267 -1.096 0.564 -1.328 0.577 -2.002Allianz SE 0.299 -0.995 0.433 -1.679 0.331 -2.584Assicurazioni Generali SpA 0.298 -0.999 0.495 -1.512 0.909 -1.183Aviva PLC 0.363 -0.795 0.491 -1.524 0.446 -2.313AXA SA 0.108 -1.595 0.416 -1.724 0.602 -1.945Banco Bilbao Vizcaya Argentaria SA 0.359 -0.806 0.558 -1.344 0.897 -1.248Banco Santander SA 0.360 -0.803 0.550 -1.367 0.916 -1.144Barclays PLC 0.350 -0.834 0.458 -1.611 0.412 -2.393Bayerische Landesbank 0.087 -1.709 0.010 -3.485 0.313 -2.627BNP Paribas SA 0.269 -1.089 0.388 -1.799 0.476 -2.241Commerzbank AG 0.320 -0.929 0.357 -1.882 0.560 -2.044Credit Agricole SA 0.268 -1.092 0.536 -1.404 0.477 -2.239Credit Suisse Group AG 0.455 -0.507 0.419 -1.718 0.787 -1.507Danske Bank A/S 0.046 -1.998 0.412 -1.734 0.925 -1.087Deutsche Bank AG 0.505 -0.349 0.278 -2.094 0.810 -1.452Hannover Rueck SE 0.383 -0.732 0.461 -1.603 0.054 -3.399HSBC Holdings PLC 0.474 -0.448 0.279 -2.091 0.637 -1.862ING Groep NV 0.183 -1.360 0.493 -1.519 0.538 -2.096Intesa Sanpaolo SpA 0.250 -1.150 0.487 -1.536 0.621 -1.900Lloyds Banking Group PLC 0.120 -1.556 0.412 -1.736 0.571 -2.018Mediobanca Banca di Credito Finanziario SpA 0.207 -1.286 0.333 -1.946 0.959 -0.828Muenchener Rueckversicherungs Gesellschaft in Muenchen AG 0.419 -0.620 0.137 -2.471 0.010 -4.029Societe Generale SA 0.204 -1.293 0.403 -1.761 0.248 -2.780Standard Chartered PLC 0.542 -0.232 0.095 -2.601 0.452 -2.299Royal Bank of Scotland Group PLC 0.167 -1.410 0.422 -1.708 0.455 -2.291UBS Group AG 0.237 -1.190 0.447 -1.643 0.545 -2.078BT Group PLC 0.417 -0.625 0.295 -2.047 0.894 -1.254Deutsche Telekom AG 0.148 -1.469 0.380 -1.821 0.384 -2.459ITV PLC 0.121 -1.554 0.072 -2.737 0.312 -2.628Koninklijke KPN NV 0.438 -0.561 0.611 -1.202 0.255 -2.764Orange SA 0.263 -1.108 0.531 -1.418 0.662 -1.803Pearson PLC 0.884 0.839 0.905 -0.395 0.986 -0.413Publicis Groupe SA 0.415 -0.631 0.438 -1.665 0.990 -0.109TDC A/S 0.773 0.491 0.951 -0.057 0.990 0.127Telefonaktiebolaget L M Ericsson 0.344 -0.853 0.729 -0.888 0.975 -0.651Telefonica SA 0.297 -1.002 0.485 -1.541 0.894 -1.253Telekom Austria AG 0.171 -1.398 0.569 -1.314 0.816 -1.438

2

Telenor ASA 0.260 -1.117 0.062 -2.798 0.759 -1.573TeliaSonera AB 0.482 -0.420 0.219 -2.252 0.822 -1.425Vivendi SA 0.308 -0.967 0.597 -1.241 0.951 -0.915Vodafone Group PLC 0.686 0.218 0.563 -1.331 0.891 -1.262Wolters Kluwer NV 0.305 -0.976 0.643 -1.117 0.650 -1.832Carrefour SA 0.183 -1.360 0.388 -1.800 0.952 -0.908Casino Guichard Perrachon SA 0.812 0.614 0.963 0.089 0.990 0.562Compass Group PLC 0.244 -1.168 0.514 -1.463 0.753 -1.587Danone SA 0.318 -0.936 0.232 -2.217 0.426 -2.360Diageo PLC 0.408 -0.653 0.298 -2.041 0.766 -1.557Kering SA 0.204 -1.294 0.145 -2.450 0.902 -1.226Koninklijke Ahold NV 0.268 -1.092 0.498 -1.506 0.360 -2.515Koninklijke Philips NV 0.214 -1.264 0.462 -1.603 0.907 -1.199

2) CDS at first difference: p-values and t-statistics

No constant term ConstantConstant and

Trend

Company name p-value t-statp-

value p-value t-stat p-valueAirbus Group SE 0.010 -20.135 0.010 -20.148 0.010 -20.292Volvo AB 0.010 -19.984 0.010 -19.988 0.010 -20.086Akzo Nobel NV 0.010 -21.160 0.010 -21.181 0.010 -21.202Anglo American PLC 0.010 -21.444 0.010 -21.497 0.010 -21.712AstraZeneca PLC 0.010 -21.300 0.010 -21.299 0.010 -21.296Atlantia SpA 0.010 -20.911 0.010 -20.967 0.010 -20.981BAE Systems PLC 0.010 -18.925 0.010 -18.953 0.010 -19.072BASF SE 0.010 -21.100 0.010 -21.112 0.010 -21.286Bayer AG 0.010 -21.073 0.010 -21.100 0.010 -21.241Bayerische Motoren Werke AG 0.010 -21.652 0.010 -21.645 0.010 -21.746Bouygues SA 0.010 -21.034 0.010 -21.076 0.010 -21.066Compagnie de Saint Gobain SA 0.010 -21.507 0.010 -21.513 0.010 -21.526Continental AG 0.010 -19.001 0.010 -19.102 0.010 -19.221Daimler AG 0.010 -20.917 0.010 -20.916 0.010 -21.026Koninklijke DSM NV 0.010 -23.121 0.010 -23.130 0.010 -23.156Lafargeholcim Ltd 0.010 -21.638 0.010 -21.628 0.010 -21.809Lanxess AG 0.010 -21.084 0.010 -21.087 0.010 -21.113Linde AG 0.010 -21.836 0.010 -21.828 0.010 -21.973PostNL NV 0.010 -20.738 0.010 -20.766 0.010 -20.762Rentokil Initial PLC 0.010 -23.440 0.010 -23.590 0.010 -23.579Rolls-Royce Holdings PLC 0.010 -20.909 0.010 -20.913 0.010 -21.185Sanofi SA 0.010 -22.863 0.010 -22.896 0.010 -23.014Siemens AG 0.010 -20.158 0.010 -20.168 0.010 -20.202Solvay SA 0.010 -21.526 0.010 -21.522 0.010 -21.788Valeo SA 0.010 -20.980 0.010 -21.009 0.010 -21.114Vinci SA 0.010 -21.604 0.010 -21.666 0.010 -21.662Volkswagen AG 0.010 -21.948 0.010 -21.937 0.010 -22.052Wendel SA 0.010 -19.036 0.010 -19.044 0.010 -19.125Accor SA 0.010 -21.245 0.010 -21.244 0.010 -21.349Electrolux AB 0.010 -19.901 0.010 -19.893 0.010 -19.938British American Tobacco PLC 0.010 -24.187 0.010 -24.180 0.010 -24.241Carlsberg A/S 0.010 -20.707 0.010 -20.704 0.010 -20.723LVMH Moet Hennessy Louis Vuitton SE 0.010 -21.325 0.010 -21.332 0.010 -21.435Marks and Spencer Group PLC 0.010 -21.165 0.010 -21.177 0.010 -21.209Nestle SA 0.010 -22.910 0.010 -22.907 0.010 -23.108Next PLC 0.010 -20.012 0.010 -20.060 0.010 -20.141Pernod Ricard SA 0.010 -19.900 0.010 -19.935 0.010 -20.011SABMiller PLC 0.010 -19.634 0.010 -19.687 0.010 -19.715Tate & Lyle PLC 0.010 -19.939 0.010 -19.931 0.010 -19.927

3

Unilever NV 0.010 -22.544 0.010 -22.545 0.010 -22.658BP PLC 0.010 -18.335 0.010 -18.328 0.010 -18.432Centrica PLC 0.010 -21.022 0.010 -21.014 0.010 -21.157E.ON SE 0.010 -19.531 0.010 -19.523 0.010 -19.617Electricite de France SA 0.010 -19.712 0.010 -19.707 0.010 -19.869Enbw Energie Baden Wuerttemberg AG 0.010 -20.198 0.010 -20.205 0.010 -20.265Enel SpA 0.010 -20.809 0.010 -20.836 0.010 -20.857Engie SA 0.010 -22.402 0.010 -22.401 0.010 -22.552Eni SpA 0.010 -18.840 0.010 -18.833 0.010 -18.893Fortum Oyj 0.010 -20.358 0.010 -20.351 0.010 -20.426Gas Natural SDG SA 0.010 -20.215 0.010 -20.219 0.010 -20.236Iberdrola SA 0.010 -21.407 0.010 -21.423 0.010 -21.422National Grid PLC 0.010 -21.490 0.010 -21.491 0.010 -21.537Repsol SA 0.010 -19.930 0.010 -19.931 0.010 -19.975Royal Dutch Shell PLC 0.010 -19.506 0.010 -19.501 0.010 -19.713RWE AG 0.010 -20.439 0.010 -20.429 0.010 -20.492Statoil ASA 0.010 -19.379 0.010 -19.370 0.010 -19.617Total SA 0.010 -19.707 0.010 -19.698 0.010 -19.853United Utilities Group PLC 0.010 -19.624 0.010 -19.615 0.010 -19.621Veolia Environnement VE SA 0.010 -21.550 0.010 -21.592 0.010 -21.628Aegon NV 0.010 -21.331 0.010 -21.355 0.010 -21.357Allianz SE 0.010 -23.038 0.010 -23.052 0.010 -23.060Assicurazioni Generali SpA 0.010 -22.259 0.010 -22.273 0.010 -22.305Aviva PLC 0.010 -22.197 0.010 -22.201 0.010 -22.201AXA SA 0.010 -22.013 0.010 -22.072 0.010 -22.107Banco Bilbao Vizcaya Argentaria SA 0.010 -22.020 0.010 -22.026 0.010 -22.041Banco Santander SA 0.010 -21.489 0.010 -21.494 0.010 -21.513Barclays PLC 0.010 -22.093 0.010 -22.101 0.010 -22.108Bayerische Landesbank 0.010 -25.716 0.010 -25.775 0.010 -25.939BNP Paribas SA 0.010 -22.451 0.010 -22.471 0.010 -22.490Commerzbank AG 0.010 -21.926 0.010 -21.938 0.010 -21.970Credit Agricole SA 0.010 -22.259 0.010 -22.281 0.010 -22.281Credit Suisse Group AG 0.010 -22.249 0.010 -22.245 0.010 -22.270Danske Bank A/S 0.010 -21.237 0.010 -21.329 0.010 -21.383Deutsche Bank AG 0.010 -22.346 0.010 -22.337 0.010 -22.410Hannover Rueck SE 0.010 -23.135 0.010 -23.138 0.010 -23.128HSBC Holdings PLC 0.010 -21.837 0.010 -21.829 0.010 -21.861ING Groep NV 0.010 -22.755 0.010 -22.793 0.010 -22.798Intesa Sanpaolo SpA 0.010 -21.776 0.010 -21.799 0.010 -21.812Lloyds Banking Group PLC 0.010 -21.909 0.010 -21.961 0.010 -21.993Mediobanca Banca di Credito Finanziario SpA 0.010 -23.743 0.010 -23.772 0.010 -23.865Muenchener Rueckversicherungs Gesellschaft in Muenchen AG 0.010 -23.605 0.010 -23.602 0.010 -23.597Societe Generale SA 0.010 -21.411 0.010 -21.448 0.010 -21.460Standard Chartered PLC 0.010 -21.803 0.010 -21.793 0.010 -21.834Royal Bank of Scotland Group PLC 0.010 -21.204 0.010 -21.244 0.010 -21.264UBS Group AG 0.010 -22.110 0.010 -22.138 0.010 -22.149BT Group PLC 0.010 -23.311 0.010 -23.309 0.010 -23.392Deutsche Telekom AG 0.010 -19.509 0.010 -19.554 0.010 -19.575ITV PLC 0.010 -21.349 0.010 -21.391 0.010 -21.444Koninklijke KPN NV 0.010 -21.743 0.010 -21.741 0.010 -21.737Orange SA 0.010 -18.982 0.010 -19.001 0.010 -19.002Pearson PLC 0.010 -21.235 0.010 -21.247 0.010 -21.299Publicis Groupe SA 0.010 -20.464 0.010 -20.461 0.010 -20.685TDC A/S 0.010 -23.321 0.010 -23.318 0.010 -23.662Telefonaktiebolaget L M Ericsson 0.010 -20.362 0.010 -20.368 0.010 -20.370Telefonica SA 0.010 -19.328 0.010 -19.340 0.010 -19.368Telekom Austria AG 0.010 -21.184 0.010 -21.220 0.010 -21.223

4

Telenor ASA 0.010 -21.528 0.010 -21.545 0.010 -21.723TeliaSonera AB 0.010 -24.207 0.010 -24.198 0.010 -24.361Vivendi SA 0.010 -20.980 0.010 -20.992 0.010 -21.008Vodafone Group PLC 0.010 -20.767 0.010 -20.759 0.010 -20.875Wolters Kluwer NV 0.010 -20.875 0.010 -20.890 0.010 -20.880Carrefour SA 0.010 -19.646 0.010 -19.679 0.010 -19.742Casino Guichard Perrachon SA 0.010 -20.309 0.010 -20.311 0.010 -20.594Compass Group PLC 0.010 -24.537 0.010 -24.573 0.010 -24.581Danone SA 0.010 -20.201 0.010 -20.212 0.010 -20.240Diageo PLC 0.010 -22.329 0.010 -22.326 0.010 -22.366Kering SA 0.010 -20.079 0.010 -20.105 0.010 -20.221Koninklijke Ahold NV 0.010 -20.378 0.010 -20.397 0.010 -20.392Koninklijke Philips NV 0.010 -22.047 0.010 -22.073 0.010 -22.099

3) Stock prices at levels (natural logarithms): p-values and t-statistics

No constant term ConstantConstant and

Trend

Company name p-value t-statp-

value p-value t-stat p-valueAirbus Group SE 0.942 1.215 0.415 -1.726 0.415 -2.386Volvo AB 0.579 -0.118 0.050 -2.871 0.240 -2.798Akzo Nobel NV 0.865 0.779 0.325 -1.968 0.144 -3.027Anglo American PLC 0.010 -2.683 0.990 2.071 0.990 0.413AstraZeneca PLC 0.904 0.919 0.678 -1.023 0.285 -2.694Atlantia SpA 0.943 1.222 0.790 -0.724 0.025 -3.681BAE Systems PLC 0.959 1.403 0.549 -1.369 0.422 -2.368BASF SE 0.648 0.099 0.195 -2.317 0.665 -1.795Bayer AG 0.955 1.352 0.367 -1.857 0.898 -1.245Bayerische Motoren Werke AG 0.772 0.488 0.242 -2.191 0.537 -2.097Bouygues SA 0.800 0.576 0.695 -0.978 0.086 -3.213Compagnie de Saint Gobain SA 0.704 0.275 0.295 -2.048 0.273 -2.722Continental AG 0.990 1.992 0.290 -2.062 0.493 -2.203Daimler AG 0.888 0.853 0.467 -1.590 0.696 -1.722Koninklijke DSM NV 0.723 0.333 0.114 -2.532 0.485 -2.221Lafargeholcim Ltd 0.511 -0.330 0.497 -1.508 0.918 -1.129Lanxess AG 0.536 -0.252 0.339 -1.931 0.041 -3.516Linde AG 0.646 0.094 0.294 -2.052 0.832 -1.401PostNL NV 0.567 -0.155 0.218 -2.254 0.438 -2.332Rentokil Initial PLC 0.986 1.900 0.474 -1.571 0.014 -3.897Rolls-Royce Holdings PLC 0.492 -0.392 0.723 -0.905 0.914 -1.154Sanofi SA 0.800 0.576 0.264 -2.130 0.465 -2.269Siemens AG 0.726 0.344 0.379 -1.825 0.433 -2.343Solvay SA 0.698 0.256 0.067 -2.768 0.690 -1.736Valeo SA 0.984 1.850 0.635 -1.140 0.746 -1.603Vinci SA 0.942 1.216 0.726 -0.897 0.228 -2.828Volkswagen AG 0.536 -0.251 0.452 -1.628 0.893 -1.256Wendel SA 0.913 0.993 0.233 -2.214 0.742 -1.612Accor SA 0.894 0.870 0.250 -2.168 0.505 -2.173Electrolux AB 0.839 0.699 0.208 -2.282 0.482 -2.227British American Tobacco PLC 0.831 0.672 0.153 -2.427 0.020 -3.784Carlsberg A/S 0.804 0.589 0.049 -2.877 0.139 -3.037LVMH Moet Hennessy Louis Vuitton SE 0.841 0.706 0.276 -2.099 0.099 -3.139Marks and Spencer Group PLC 0.793 0.554 0.219 -2.251 0.535 -2.103Nestle SA 0.915 1.005 0.339 -1.931 0.010 -4.503Next PLC 0.990 2.723 0.374 -1.838 0.952 -0.908Pernod Ricard SA 0.913 0.991 0.271 -2.112 0.231 -2.820SABMiller PLC 0.952 1.309 0.421 -1.711 0.144 -3.025Tate & Lyle PLC 0.511 -0.331 0.407 -1.748 0.443 -2.319

5

Unilever NV 0.922 1.063 0.731 -0.882 0.201 -2.891BP PLC 0.448 -0.527 0.281 -2.086 0.370 -2.492Centrica PLC 0.318 -0.937 0.959 0.037 0.722 -1.662E.ON SE 0.246 -1.163 0.593 -1.251 0.503 -2.178Electricite de France SA 0.342 -0.860 0.925 -0.249 0.990 0.219Enbw Energie Baden Wuerttemberg AG 0.158 -1.437 0.329 -1.958 0.010 -5.540Enel SpA 0.631 0.047 0.569 -1.315 0.256 -2.762Engie SA 0.342 -0.862 0.089 -2.637 0.308 -2.638Eni SpA 0.453 -0.513 0.317 -1.991 0.236 -2.808Fortum Oyj 0.494 -0.384 0.329 -1.958 0.603 -1.943Gas Natural SDG SA 0.753 0.428 0.645 -1.111 0.815 -1.440Iberdrola SA 0.849 0.731 0.863 -0.528 0.010 -4.089National Grid PLC 0.957 1.381 0.564 -1.329 0.023 -3.723Repsol SA 0.232 -1.205 0.517 -1.455 0.799 -1.479Royal Dutch Shell PLC 0.358 -0.810 0.392 -1.788 0.585 -1.983RWE AG 0.243 -1.172 0.944 -0.114 0.722 -1.660Statoil ASA 0.414 -0.634 0.345 -1.914 0.582 -1.992Total SA 0.604 -0.038 0.228 -2.228 0.352 -2.535United Utilities Group PLC 0.940 1.203 0.565 -1.327 0.208 -2.875Veolia Environnement VE SA 0.954 1.340 0.829 -0.621 0.209 -2.872Aegon NV 0.756 0.440 0.152 -2.430 0.587 -1.978Allianz SE 0.958 1.384 0.435 -1.674 0.182 -2.936Assicurazioni Generali SpA 0.651 0.108 0.464 -1.595 0.710 -1.688Aviva PLC 0.863 0.775 0.489 -1.531 0.542 -2.087AXA SA 0.937 1.181 0.531 -1.416 0.182 -2.936Banco Bilbao Vizcaya Argentaria SA 0.549 -0.212 0.507 -1.482 0.922 -1.106Banco Santander SA 0.509 -0.338 0.558 -1.346 0.975 -0.650Barclays PLC 0.633 0.054 0.183 -2.347 0.604 -1.939Bayerische Landesbank 0.973 1.590 0.390 -1.795 0.677 -1.767BNP Paribas SA 0.748 0.414 0.268 -2.121 0.634 -1.869Commerzbank AG 0.457 -0.501 0.339 -1.932 0.622 -1.897Credit Agricole SA 0.816 0.626 0.491 -1.523 0.925 -1.088Credit Suisse Group AG 0.497 -0.376 0.411 -1.738 0.799 -1.480Danske Bank A/S 0.977 1.662 0.516 -1.458 0.095 -3.160Deutsche Bank AG 0.324 -0.917 0.891 -0.454 0.820 -1.430Hannover Rueck SE 0.990 2.235 0.609 -1.210 0.411 -2.396HSBC Holdings PLC 0.586 -0.095 0.447 -1.640 0.559 -2.045ING Groep NV 0.840 0.701 0.530 -1.421 0.585 -1.984Intesa Sanpaolo SpA 0.705 0.280 0.688 -0.997 0.293 -2.674Lloyds Banking Group PLC 0.958 1.394 0.142 -2.458 0.947 -0.950Mediobanca Banca di Credito Finanziario SpA 0.739 0.386 0.603 -1.224 0.336 -2.573Muenchener Rueckversicherungs Gesellschaft in Muenchen AG 0.963 1.453 0.274 -2.105 0.218 -2.850Societe Generale SA 0.837 0.694 0.267 -2.122 0.611 -1.923Standard Chartered PLC 0.086 -1.713 0.990 1.118 0.923 -1.095Royal Bank of Scotland Group PLC 0.678 0.193 0.081 -2.685 0.493 -2.202UBS Group AG 0.789 0.541 0.325 -1.969 0.527 -2.121BT Group PLC 0.990 2.120 0.591 -1.258 0.460 -2.279Deutsche Telekom AG 0.928 1.107 0.818 -0.649 0.161 -2.987ITV PLC 0.990 2.459 0.523 -1.437 0.590 -1.973Koninklijke KPN NV 0.267 -1.096 0.285 -2.076 0.647 -1.838Orange SA 0.748 0.412 0.800 -0.696 0.374 -2.483Pearson PLC 0.334 -0.886 0.762 -0.798 0.904 -1.214Publicis Groupe SA 0.883 0.837 0.278 -2.095 0.837 -1.388TDC A/S 0.321 -0.928 0.844 -0.580 0.986 -0.412Telefonaktiebolaget L M Ericsson 0.628 0.038 0.447 -1.642 0.572 -2.015Telefonica SA 0.411 -0.643 0.160 -2.409 0.208 -2.874Telekom Austria AG 0.260 -1.117 0.162 -2.403 0.450 -2.303

6

Telenor ASA 0.879 0.824 0.389 -1.798 0.578 -2.002TeliaSonera AB 0.471 -0.457 0.313 -2.001 0.643 -1.847Vivendi SA 0.711 0.298 0.550 -1.365 0.086 -3.209Vodafone Group PLC 0.747 0.410 0.381 -1.817 0.280 -2.705Wolters Kluwer NV 0.989 1.972 0.893 -0.448 0.079 -3.250Carrefour SA 0.785 0.528 0.534 -1.408 0.558 -2.048Casino Guichard Perrachon SA 0.340 -0.866 0.973 0.219 0.990 -0.288Compass Group PLC 0.987 1.928 0.606 -1.217 0.206 -2.880Danone SA 0.807 0.599 0.318 -1.986 0.093 -3.168Diageo PLC 0.871 0.799 0.037 -3.007 0.238 -2.805Kering SA 0.796 0.563 0.115 -2.529 0.347 -2.546Koninklijke Ahold NV 0.973 1.597 0.937 -0.161 0.097 -3.150Koninklijke Philips NV 0.849 0.728 0.404 -1.756 0.612 -1.919

4) Stock prices at first difference: p-values and t-statistics

No constant term ConstantConstant and

Trend

Company name p-value t-statp-

value p-value t-stat p-valueAirbus Group SE 0.010 -23.729 0.010 -23.784 0.010 -23.793Volvo AB 0.010 -22.729 0.010 -22.719 0.010 -22.735Akzo Nobel NV 0.010 -23.328 0.010 -23.343 0.010 -23.348Anglo American PLC 0.010 -22.309 0.010 -22.529 0.010 -22.657AstraZeneca PLC 0.010 -24.805 0.010 -24.827 0.010 -24.815Atlantia SpA 0.010 -23.958 0.010 -24.005 0.010 -23.996BAE Systems PLC 0.010 -23.976 0.010 -24.037 0.010 -24.032BASF SE 0.010 -23.416 0.010 -23.406 0.010 -23.469Bayer AG 0.010 -24.938 0.010 -25.002 0.010 -25.071Bayerische Motoren Werke AG 0.010 -22.698 0.010 -22.698 0.010 -22.737Bouygues SA 0.010 -24.299 0.010 -24.302 0.010 -24.305Compagnie de Saint Gobain SA 0.010 -23.455 0.010 -23.448 0.010 -23.440Continental AG 0.010 -23.322 0.010 -23.473 0.010 -23.539Daimler AG 0.010 -23.020 0.010 -23.042 0.010 -23.065Koninklijke DSM NV 0.010 -23.899 0.010 -23.893 0.010 -23.932Lafargeholcim Ltd 0.010 -22.741 0.010 -22.733 0.010 -22.851Lanxess AG 0.010 -23.342 0.010 -23.332 0.010 -23.376Linde AG 0.010 -22.871 0.010 -22.861 0.010 -22.917PostNL NV 0.010 -22.781 0.010 -22.774 0.010 -22.767Rentokil Initial PLC 0.010 -22.889 0.010 -23.011 0.010 -23.013Rolls-Royce Holdings PLC 0.010 -22.355 0.010 -22.348 0.010 -22.481Sanofi SA 0.010 -24.934 0.010 -24.939 0.010 -24.967Siemens AG 0.010 -22.474 0.010 -22.468 0.010 -22.463Solvay SA 0.010 -23.835 0.010 -23.828 0.010 -24.000Valeo SA 0.010 -23.207 0.010 -23.337 0.010 -23.345Vinci SA 0.010 -24.336 0.010 -24.381 0.010 -24.372Volkswagen AG 0.010 -21.853 0.010 -21.843 0.010 -21.929Wendel SA 0.010 -23.551 0.010 -23.585 0.010 -23.668Accor SA 0.010 -24.100 0.010 -24.128 0.010 -24.191Electrolux AB 0.010 -22.752 0.010 -22.762 0.010 -22.803British American Tobacco PLC 0.010 -22.428 0.010 -22.432 0.010 -22.422Carlsberg A/S 0.010 -23.677 0.010 -23.680 0.010 -23.680LVMH Moet Hennessy Louis Vuitton SE 0.010 -24.326 0.010 -24.336 0.010 -24.329Marks and Spencer Group PLC 0.010 -22.728 0.010 -22.731 0.010 -22.782Nestle SA 0.010 -23.313 0.010 -23.340 0.010 -23.331Next PLC 0.010 -24.142 0.010 -24.412 0.010 -24.512Pernod Ricard SA 0.010 -24.430 0.010 -24.456 0.010 -24.448SABMiller PLC 0.010 -23.739 0.010 -23.788 0.010 -23.778Tate & Lyle PLC 0.010 -22.685 0.010 -22.677 0.010 -22.666

7

Unilever NV 0.010 -23.743 0.010 -23.774 0.010 -23.770BP PLC 0.010 -23.072 0.010 -23.070 0.010 -23.063Centrica PLC 0.010 -23.208 0.010 -23.225 0.010 -23.331E.ON SE 0.010 -21.745 0.010 -21.767 0.010 -21.761Electricite de France SA 0.010 -22.277 0.010 -22.284 0.010 -22.376Enbw Energie Baden Wuerttemberg AG 0.010 -28.804 0.010 -28.864 0.010 -28.851Enel SpA 0.010 -23.881 0.010 -23.873 0.010 -23.863Engie SA 0.010 -23.527 0.010 -23.534 0.010 -23.522Eni SpA 0.010 -23.013 0.010 -23.008 0.010 -23.025Fortum Oyj 0.010 -21.878 0.010 -21.870 0.010 -21.863Gas Natural SDG SA 0.010 -21.878 0.010 -21.878 0.010 -21.874Iberdrola SA 0.010 -22.847 0.010 -22.862 0.010 -22.881National Grid PLC 0.010 -24.776 0.010 -24.838 0.010 -24.826Repsol SA 0.010 -21.758 0.010 -21.789 0.010 -21.783Royal Dutch Shell PLC 0.010 -22.013 0.010 -22.022 0.010 -22.026RWE AG 0.010 -22.855 0.010 -22.887 0.010 -22.938Statoil ASA 0.010 -23.647 0.010 -23.646 0.010 -23.642Total SA 0.010 -23.603 0.010 -23.592 0.010 -23.585United Utilities Group PLC 0.010 -23.031 0.010 -23.066 0.010 -23.055Veolia Environnement VE SA 0.010 -23.701 0.010 -23.768 0.010 -23.762Aegon NV 0.010 -23.414 0.010 -23.424 0.010 -23.496Allianz SE 0.010 -22.540 0.010 -22.602 0.010 -22.613Assicurazioni Generali SpA 0.010 -23.676 0.010 -23.666 0.010 -23.678Aviva PLC 0.010 -23.752 0.010 -23.765 0.010 -23.764AXA SA 0.010 -22.969 0.010 -23.018 0.010 -23.015Banco Bilbao Vizcaya Argentaria SA 0.010 -22.981 0.010 -22.970 0.010 -22.998Banco Santander SA 0.010 -24.017 0.010 -24.006 0.010 -24.068Barclays PLC 0.010 -24.386 0.010 -24.375 0.010 -24.442Bayerische Landesbank 0.010 -29.276 0.010 -29.369 0.010 -29.381BNP Paribas SA 0.010 -23.606 0.010 -23.605 0.010 -23.651Commerzbank AG 0.010 -22.076 0.010 -22.068 0.010 -22.088Credit Agricole SA 0.010 -22.056 0.010 -22.075 0.010 -22.112Credit Suisse Group AG 0.010 -22.620 0.010 -22.612 0.010 -22.637Danske Bank A/S 0.010 -23.448 0.010 -23.541 0.010 -23.551Deutsche Bank AG 0.010 -23.291 0.010 -23.303 0.010 -23.382Hannover Rueck SE 0.010 -23.933 0.010 -24.109 0.010 -24.107HSBC Holdings PLC 0.010 -23.351 0.010 -23.340 0.010 -23.442ING Groep NV 0.010 -23.723 0.010 -23.741 0.010 -23.751Intesa Sanpaolo SpA 0.010 -23.952 0.010 -23.971 0.010 -23.961Lloyds Banking Group PLC 0.010 -25.211 0.010 -25.297 0.010 -25.493Mediobanca Banca di Credito Finanziario SpA 0.010 -22.537 0.010 -22.540 0.010 -22.530Muenchener Rueckversicherungs Gesellschaft in Muenchen AG 0.010 -23.917 0.010 -23.990 0.010 -24.020Societe Generale SA 0.010 -22.499 0.010 -22.516 0.010 -22.564Standard Chartered PLC 0.010 -23.545 0.010 -23.640 0.010 -23.779Royal Bank of Scotland Group PLC 0.010 -23.757 0.010 -23.749 0.010 -23.823UBS Group AG 0.010 -23.689 0.010 -23.694 0.010 -23.710BT Group PLC 0.010 -25.582 0.010 -25.740 0.010 -25.741Deutsche Telekom AG 0.010 -22.949 0.010 -22.984 0.010 -22.977ITV PLC 0.010 -23.580 0.010 -23.799 0.010 -23.817Koninklijke KPN NV 0.010 -21.493 0.010 -21.491 0.010 -21.591Orange SA 0.010 -23.948 0.010 -23.946 0.010 -24.009Pearson PLC 0.010 -22.213 0.010 -22.226 0.010 -22.260Publicis Groupe SA 0.010 -24.419 0.010 -24.440 0.010 -24.522TDC A/S 0.010 -22.250 0.010 -22.265 0.010 -22.318Telefonaktiebolaget L M Ericsson 0.010 -24.585 0.010 -24.574 0.010 -24.576Telefonica SA 0.010 -22.211 0.010 -22.208 0.010 -22.198Telekom Austria AG 0.010 -21.237 0.010 -21.249 0.010 -21.253

8

Telenor ASA 0.010 -24.484 0.010 -24.501 0.010 -24.531TeliaSonera AB 0.010 -23.455 0.010 -23.447 0.010 -23.462Vivendi SA 0.010 -22.586 0.010 -22.581 0.010 -22.570Vodafone Group PLC 0.010 -23.221 0.010 -23.216 0.010 -23.205Wolters Kluwer NV 0.010 -23.131 0.010 -23.265 0.010 -23.257Carrefour SA 0.010 -24.019 0.010 -24.024 0.010 -24.021Casino Guichard Perrachon SA 0.010 -22.199 0.010 -22.209 0.010 -22.363Compass Group PLC 0.010 -23.795 0.010 -23.915 0.010 -23.908Danone SA 0.010 -23.723 0.010 -23.727 0.010 -23.717Diageo PLC 0.010 -24.964 0.010 -24.978 0.010 -25.011Kering SA 0.010 -23.589 0.010 -23.591 0.010 -23.609Koninklijke Ahold NV 0.010 -22.997 0.010 -23.078 0.010 -23.091Koninklijke Philips NV 0.010 -23.788 0.010 -23.804 0.010 -23.811

Table A.3. Zivot and Andrews Unit Root Test. Test of unit root (null hypothesis) versus stationarity with break

Company Name CDS StockDifference

CDSDifference

StockAirbus Group SE -2.994 -4.3113 -21.1125 -23.9576

Volvo AB -4.1916 -4.2919 -20.5158 -22.9828

Akzo Nobel NV -3.2166 -4.2576 -21.679 -23.543

Anglo American PLC -5.2232 -3.9872 -22.0544 -23.4251

AstraZeneca PLC -3.3188 -5.2258 -21.6379 -25.0159

Atlantia SpA -2.3067 -4.4149 -21.8197 -24.2087

BAE Systems PLC -3.6389 -3.8752 -19.5262 -24.2762

BASF SE -2.7772 -3.7876 -22.0226 -23.7277

Bayer AG -4.0078 -4.4252 -22.0769 -25.3169

Bayerische Motoren Werke AG -3.8025 -4.1543 -22.3408 -23.2189

Bouygues SA -3.5934 -4.3177 -21.5047 -24.4472

Compagnie de Saint Gobain SA -3.1583 -3.997 -21.8438 -23.7138

Continental AG -4.1788 -4.4084 -19.6675 -23.8175

Daimler AG -4.1573 -3.38 -21.4956 -23.4822

Koninklijke DSM NV -3.9208 -4.1381 -23.7683 -24.1608

Lafargeholcim Ltd -3.6988 -3.6567 -22.7211 -23.0985

Lanxess AG -3.7648 -4.4103 -22.2815 -23.7305

Linde AG -2.2728 -5.3319 -22.7959 -23.8727

PostNL NV -4.0148 -4.5694 -21.562 -23.2748

Rentokil Initial PLC -3.3776 -4.6403 -23.8239 -23.517

Rolls-Royce Holdings PLC -3.1777 -3.298 -22.4863 -22.6471

Sanofi SA -3.1582 -3.7566 -23.7565 -25.2108

Siemens AG -3.2578 -4.8414 -20.8249 -22.8913

Solvay SA -4.0506 -4.2777 -22.9898 -24.4286

Valeo SA -3.9886 -3.0748 -21.8395 -23.6082

Vinci SA -3.7341 -3.7641 -22.3142 -24.6665

Volkswagen AG -4.8739 -4.909 -22.6163 -22.3821

Wendel SA -3.4432 -3.3919 -22.4417 -24.0941

Accor SA -3.5509 -5.0831 -21.5902 -24.6098

Electrolux AB -3.2186 -4.0661 -20.2397 -23.1895

9

British American Tobacco PLC -5.2058 -4.7413 -24.7704 -22.809

Carlsberg A/S -4.1015 -4.1234 -20.8997 -24.1159

LVMH Moet Hennessy Louis Vuitton SE -4.0404 -5.8091 -22.2317 -24.5408

Marks and Spencer Group PLC -3.3906 -3.528 -21.9202 -23.0291

Nestle SA -4.5301 -6.0773 -23.504 -23.6683

Next PLC -3.6925 -5.3133 -20.7656 -24.8362

Pernod Ricard SA -4.1813 -4.295 -20.5058 -24.8334

SABMiller PLC -4.5777 -3.8964 -20.5152 -24.3164

Tate & Lyle PLC -4.4211 -4.2301 -20.4703 -22.7862

Unilever NV -4.7642 -4.5072 -23.0356 -24.0992

BP PLC -3.1578 -4.2514 -20.013 -23.4655

Centrica PLC -3.3987 -4.5807 -21.4193 -23.4581

E.ON SE -4.9175 -3.4825 -19.8817 -22.0358

Electricite de France SA -3.1862 -2.7498 -20.1925 -22.7033

Enbw Energie Baden Wuerttemberg AG -4.4419 -7.0715 -20.539 -29.0943

Enel SpA -3.815 -3.9195 -21.3572 -24.1194

Engie SA -3.3177 -4.2058 -23.266 -23.7552

Eni SpA -3.3452 -4.6046 -20.2701 -23.2079

Fortum Oyj -5.0741 -3.8659 -20.6622 -22.1233

Gas Natural SDG SA -3.0905 -4.2407 -20.889 -22.3511

Iberdrola SA -3.7747 -6.2264 -21.9308 -23.3628

National Grid PLC -4.2021 -5.3706 -21.9694 -25.0452

Repsol SA -3.1823 -4.1994 -20.6283 -22.2762

Royal Dutch Shell PLC -3.14 -4.6356 -21.6172 -23.0918

RWE AG -4.3864 -3.7526 -20.7261 -23.4686

Statoil ASA -2.9523 -4.1527 -22.2709 -24.6663

Total SA -3.6568 -4.7201 -21.5181 -23.8934

United Utilities Group PLC -5.3156 -3.9098 -19.8059 -23.2246

Veolia Environnement VE SA -4.5149 -5.0386 -22.0697 -24.3161

Aegon NV -4.3322 -4.2466 -21.5257 -23.8167

Allianz SE -5.0609 -5.1052 -23.3018 -23.102

Assicurazioni Generali SpA -3.5487 -3.9912 -22.5426 -24.2253

Aviva PLC -4.2995 -3.6728 -22.4557 -24.2484

AXA SA -4.1846 -4.8254 -22.4772 -23.4848

Banco Bilbao Vizcaya Argentaria SA -4.0743 -3.3446 -22.2766 -23.3199

Banco Santander SA -3.9462 -3.5109 -21.7822 -24.395

Barclays PLC -4.6072 -4.5834 -22.5072 -24.9216

Bayerische Landesbank -5.4159 -4.4809 -26.6182 -31.8683

BNP Paribas SA -4.9845 -4.3522 -22.7557 -24.1167

Commerzbank AG -4.2439 -3.986 -22.5261 -23.4309

Credit Agricole SA -4.6758 -3.7156 -22.7535 -22.6559

Credit Suisse Group AG -4.4817 -3.4657 -22.4415 -23.0681

Danske Bank A/S -3.8955 -4.409 -21.7901 -24.0595

Deutsche Bank AG -3.91 -3.0093 -22.86 -23.978

Hannover Rueck SE -5.0002 -4.0718 -23.3591 -24.5002

HSBC Holdings PLC -4.8675 -4.579 -22.3305 -23.7009

10

ING Groep NV -3.7075 -3.4994 -23.3989 -24.3763

Intesa Sanpaolo SpA -4.0883 -3.8702 -22.1333 -24.5419

Lloyds Banking Group PLC -4.5148 -3.841 -22.2762 -26.3234

Mediobanca Banca di Credito Finanziario SpA -3.8768 -4.2761 -24.7468 -22.9872Muenchener Rueckversicherungs Gesellschaft in Muenchen AG -5.8205 -3.9778 -23.7421 -24.3105

Societe Generale SA -5.1505 -3.9038 -21.6905 -23.9741

Standard Chartered PLC -4.4834 -3.5314 -22.0259 -24.0877

Royal Bank of Scotland Group PLC -4.0978 -4.2148 -21.5834 -24.4185

UBS Group AG -4.7343 -4.1466 -22.3318 -24.1528

BT Group PLC -3.9032 -4.8258 -23.7098 -25.8549

Deutsche Telekom AG -4.3929 -4.1546 -19.8694 -23.1708

ITV PLC -3.5326 -4.0802 -21.6759 -24.194

Koninklijke KPN NV -3.7643 -4.8354 -21.9047 -21.9279

Orange SA -4.1509 -4.3197 -19.5269 -24.1475

Pearson PLC -3.1681 -4.8256 -21.7488 -23.5302

Publicis Groupe SA -2.6795 -2.9394 -21.1793 -25.213

TDC A/S -2.6919 -4.5924 -24.4769 -23.6044

Telefonaktiebolaget L M Ericsson -4.7168 -4.5742 -20.8625 -24.967

Telefonica SA -3.9349 -4.4134 -19.7011 -22.5716

Telekom Austria AG -3.2117 -3.3212 -21.548 -21.6183

Telenor ASA -3.8179 -4.1449 -22.188 -24.7867

TeliaSonera AB -5.4671 -4.6518 -24.6255 -23.7054

Vivendi SA -5.2634 -4.6982 -21.4523 -22.875

Vodafone Group PLC -3.7007 -4.0035 -21.2967 -23.298

Wolters Kluwer NV -2.9752 -3.9024 -21.3225 -23.5414

Carrefour SA -3.7804 -3.779 -20.2472 -24.3036

Casino Guichard Perrachon SA -4.287 -4.0236 -21.1257 -23.1664

Compass Group PLC -2.7576 -4.2833 -25.0803 -24.4737

Danone SA -3.8607 -4.0718 -20.9632 -23.9545

Diageo PLC -4.7548 -5.1109 -22.5557 -25.1581

Kering SA -4.0454 -4.384 -20.7547 -23.8409

Koninklijke Ahold NV -4.1811 -4.0901 -21.0234 -23.4591

Koninklijke Philips NV -3.1375 -4.6127 -22.7373 -24.1157*Critical value: at the 1% level of significance -6.57; at the 5% level of significance -5.08 and at the 10% level of significance -4.82.

Table A.4. TVAR.LR test of linear versus 1-threshold TVAR model: p-values and t-statistics

Test Airbus Group SE 12.5673 RWE AG 22.5089p-value   0.9000   0.1000Test Volvo AB 9.8831 Statoil ASA 33.3158p-value   0.9000   0.0000Test Akzo Nobel NV 10.2559 Total SA 13.8932p-value   0.9000   0.8000Test Anglo American PLC 46.9503 United Utilities Group PLC 19.5351

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p-value   0.0000   0.4000Test AstraZeneca PLC 39.4846 Veolia Environnement VE SA 21.2423p-value   0.0000   0.4000Test Atlantia SpA 21.5873 Aegon NV 16.5121p-value   0.1000   0.3000Test BAE Systems PLC 24.4337 Allianz SE 25.1773p-value   0.1000   0.0000Test BASF SE 16.5309 Assicurazioni Generali SpA 22.8489p-value   0.4000   0.3000Test Bayer AG 20.0372 Aviva PLC 18.1755p-value   0.1000   0.2000

Test Bayerische Motoren Werke AG127.830

1 AXA SA 20.3791p-value   0.0000   0.0000

Test Bouygues SA 10.5899Banco Bilbao Vizcaya Argentaria SA 19.8775

p-value   0.9000   0.2000Test Compagnie de Saint Gobain SA 31.7363 Banco Santander SA 18.2360p-value   0.0000   0.2000Test Continental AG 22.5296 Barclays PLC 20.1546p-value   0.1000   0.2000Test Daimler AG 20.8124 Bayerische Landesbank 38.6613p-value   0.4000   0.0000Test Koninklijke DSM NV 21.6234 BNP Paribas SA 45.8867p-value   0.0000   0.0000Test Lafargeholcim Ltd 27.8795 Commerzbank AG 21.1459p-value   0.0000   0.1000Test Lanxess AG 26.7172 Credit Agricole SA 18.3930p-value   0.0000   0.2000Test Linde AG 14.2422 Credit Suisse Group AG 12.8119p-value   0.4000   0.5000Test PostNL NV 33.8808 Danske Bank A/S 23.6525p-value   0.0000   0.1000Test Rentokil Initial PLC 65.3702 Deutsche Bank AG 17.2966p-value   0.0000   0.2000Test Rolls-Royce Holdings PLC 34.5252 Hannover Rueck SE 19.5475p-value   0.0000   0.2000Test Sanofi SA 13.1489 HSBC Holdings PLC 23.9501p-value   0.9000   0.1000Test Siemens AG 33.8040 ING Groep NV 19.3899p-value   0.0000   0.3000Test Solvay SA 44.0984 Intesa Sanpaolo SpA 26.4085p-value   0.0000   0.0000Test Valeo SA 18.6768 Lloyds Banking Group PLC 22.3772p-value   0.2000   0.1000

Test Vinci SA 17.3713Mediobanca Banca di Credito Finanziario SpA 27.5902

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p-value   0.1000   0.0000

Test Volkswagen AG 37.6394Muenchener Rueckversicherungs Gesellschaft in Muenchen AG 17.6123

p-value   0.2000   0.1000Test Wendel SA 15.7866 Societe Generale SA 22.0187p-value   0.5000   0.0000Test Accor SA 20.0598 Standard Chartered PLC 20.2329p-value   0.2000   0.3000

Test Electrolux AB 21.6027Royal Bank of Scotland Group PLC 18.3436

p-value   0.4000   0.0000Test British American Tobacco PLC 12.9248 UBS Group AG 14.2956p-value   0.4000   0.8000Test Carlsberg A/S 17.8439 BT Group PLC 92.7236p-value   0.4000   0.0000

TestLVMH Moet Hennessy Louis Vuitton SE 32.9811 Deutsche Telekom AG 16.8141

p-value   0.0000   0.5000Test Marks and Spencer Group PLC 16.9601 ITV PLC 13.9800p-value   0.5000   0.6000Test Nestle SA 16.4944 Koninklijke KPN NV 23.6254p-value   0.3000   0.1000Test Next PLC 11.3158 Orange SA 10.2028p-value   0.7000   1.0000Test Pernod Ricard SA 11.8526 Pearson PLC 29.5501p-value   0.6000   0.1000Test SABMiller PLC 19.8474 Publicis Groupe SA 31.9608p-value   0.3000   0.0000Test Tate & Lyle PLC 9.3491 TDC A/S 27.3463p-value   1.0000   0.1000Test Unilever NV 23.1576 Telefonaktiebolaget L M Ericsson 22.5969p-value   0.2000   0.2000Test BP PLC 43.7810 Telefonica SA 12.3263p-value   0.0000   0.3000Test Centrica PLC 16.9180 Telekom Austria AG 23.7800p-value   0.1000   0.1000Test E.ON SE 19.0857 Telenor ASA 27.3769p-value   0.2000   0.0000Test Electricite de France SA 20.6508 TeliaSonera AB 13.6573p-value   0.0000   0.5000

TestEnbw Energie Baden Wuerttemberg AG 17.5059 Vivendi SA 57.9037

p-value   0.4000   0.0000Test Enel SpA 14.3390 Vodafone Group PLC 15.6304p-value   0.5000   0.5000Test Engie SA 11.4319 Wolters Kluwer NV 13.0701p-value   0.6000   0.6000Test Eni SpA 23.6989 Carrefour SA 26.7343

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p-value   0.1000   0.0000Test Fortum Oyj 10.7846 Casino Guichard Perrachon SA 11.0149p-value   0.8000   0.7000Test Gas Natural SDG SA 18.8709 Compass Group PLC 14.4903p-value   0.2000   0.7000Test Iberdrola SA 22.1914 Danone SA 17.4052p-value   0.1000   0.3000Test National Grid PLC 10.9810 Diageo PLC 23.0418v   0.8000   0.0000Test Repsol SA 29.7537 Kering SA 37.3685p-value   0.0000   0.0000Test Royal Dutch Shell PLC 18.9996 Koninklijke Ahold NV 19.1306P-Val   0.2000   0.5000

Koninklijke Philips NV 20.9010  0.0000

*Statistically significant results with p-value <10% are marked

Table A.5. Hansen and Seo (2002) test of null hypothesis for linear cointegration against threshold cointegration

Test stat Airbus Group SE 16.3732 RWE AG 13.7777p-value 0.3900 0.6800Test stat Volvo AB 10.9100 Statoil ASA 21.0402p-value 0.0900 0.0600Test stat Akzo Nobel NV 19.8244 Total SA 13.8019p-value 0.0800 0.6200Test stat Anglo American PLC 23.7841 United Utilities Group PLC 16.5596p-value 0.0100 0.2300Test stat AstraZeneca PLC 14.9049 Veolia Environnement VE SA 30.3372p-value 0.3500 0.0000Test stat Atlantia SpA 17.2351 Aegon NV 22.0975p-value 0.2700 0.0700Test stat BAE Systems PLC 19.4817 Allianz SE 17.6588p-value 0.2000 0.1500Test stat BASF SE 14.8433 Assicurazioni Generali SpA 13.1108p-value 0.4800 0.6000Test stat Bayer AG 21.3121 Aviva PLC 14.5096p-value 0.0800 0.4500Test stat Bayerische Motoren Werke AG 37.5162 AXA SA 15.0144p-value 0.0000 0.4800Test stat Bouygues SA 20.1159 Banco Bilbao Vizcaya Argentaria SA 7.7531p-value 0.1400 1.0000Test stat Compagnie de Saint Gobain SA 18.5085 Banco Santander SA 13.0475p-value 0.0700 0.7000Test stat Continental AG 13.0188 Barclays PLC 17.8159p-value 0.6800 0.1800Test stat Daimler AG 13.2496 Bayerische Landesbank 13.2017

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p-value 0.6800 0.5700Test stat Koninklijke DSM NV 17.3616 BNP Paribas SA 20.1238p-value 0.2300 0.0900Test stat Lafargeholcim Ltd 15.7030 Commerzbank AG 13.4365p-value 0.3600 0.6700Test stat Lanxess AG 16.8632 Credit Agricole SA 12.5621p-value 0.3500 0.7900Test stat Linde AG 15.6011 Credit Suisse Group AG 6.7489p-value 0.3000 0.5500Test stat PostNL NV 15.9009 Danske Bank A/S 17.8119p-value 0.3200 0.1500Test stat Rentokil Initial PLC 12.0432 Deutsche Bank AG 20.0309p-value 0.7400 0.1200Test stat Rolls-Royce Holdings PLC 30.5902 Hannover Rueck SE 16.9655p-value 0.0000 0.2400Test stat Sanofi SA 16.1199 HSBC Holdings PLC 17.0565p-value 0.3300 0.2900Test stat Siemens AG 10.7144 ING Groep NV 19.2309p-value 0.8500 0.1600Test stat Solvay SA 17.3085 Intesa Sanpaolo SpA 21.9706p-value 0.2900 0.0400Test stat Valeo SA 14.7413 Lloyds Banking Group PLC 15.0165p-value 0.5500 0.5600

Test stat Vinci SA 18.3670Mediobanca Banca di Credito Finanziario SpA 30.5904

p-value 0.2500 0.0000

Test stat Volkswagen AG 19.7887Muenchener Rueckversicherungs Gesellschaft in Muenchen AG 18.9599

p-value 0.0900 0.1200Test stat Wendel SA 12.3401 Societe Generale SA 16.8266p-value 0.7100 0.2600Test stat Accor SA 15.1435 Standard Chartered PLC 15.6369p-value 0.4600 0.4900Test stat Electrolux AB 19.9525 Royal Bank of Scotland Group PLC 7.9069p-value 0.1000 0.9100Test stat British American Tobacco PLC 14.5124 UBS Group AG 8.8771p-value 0.5900 0.9900Test stat Carlsberg A/S 13.1058 BT Group PLC 25.2156p-value 0.6500 0.0000

Test statLVMH Moet Hennessy Louis Vuitton SE 23.2136 Deutsche Telekom AG 18.5883

p-value 0.0200 0.1700Test stat Marks and Spencer Group PLC 14.4427 ITV PLC 15.8684p-value 0.4500 0.3300Test stat Nestle SA 20.4448 Koninklijke KPN NV 11.6892p-value 0.1200 0.8800Test stat Next PLC 16.8668 Orange SA 18.1020

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p-value 0.2800 0.2300Test stat Pernod Ricard SA 12.1225 Pearson PLC 13.3372p-value 0.7900 0.5500Test stat SABMiller PLC 17.5381 Publicis Groupe SA 24.2127p-value 0.1700 0.0400Test stat Tate & Lyle PLC 16.1491 TDC A/S 14.6724p-value 0.3100 0.5500Test stat Unilever NV 16.1331 Telefonaktiebolaget L M Ericsson 21.0113p-value 0.3100 0.0600Test stat BP PLC 23.5100 Telefonica SA 16.3934p-value 0.0100 0.3300Test stat Centrica PLC 18.8269 Telekom Austria AG 15.1206p-value 0.1700 0.4200Test stat E.ON SE 24.3290 Telenor ASA 16.7459p-value 0.0000 0.4000Test stat Electricite de France SA 17.1643 TeliaSonera AB 11.5690p-value 0.2400 0.7700

Test statEnbw Energie Baden Wuerttemberg AG 13.9663 Vivendi SA 27.3970

p-value 0.7600 0.0000Test stat Enel SpA 12.4818 Vodafone Group PLC 12.3426p-value 0.7400 0.8000Test stat Engie SA 23.4621 Wolters Kluwer NV 15.7812p-value 0.0200 0.3900Test stat Eni SpA 8.0922 Carrefour SA 12.7535p-value 0.2800 0.8800Test stat Fortum Oyj 14.3232 Casino Guichard Perrachon SA 15.3868p-value 0.5100 0.4400Test stat Gas Natural SDG SA 18.4606 Compass Group PLC 15.8013p-value 0.1200 0.4100Test stat Iberdrola SA 15.0885 Danone SA 17.2940p-value 0.4200 0.3100Test stat National Grid PLC 16.7681 Diageo PLC 11.6530p-value 0.3400 0.0600Test stat Repsol SA 25.7467 Kering SA 24.7592p-value 0.0000 0.0100Test stat Royal Dutch Shell PLC 18.0708 Koninklijke Ahold NV 13.4478p-value 0.2000 0.7000

Koninklijke Philips NV 16.00300.3400

*Statistically significant results with p-value <10% are marked

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