... exist, what we require, then, is a linear combination of Yt and Xt that is a stationary variable (an I(0) variable). A linear combination of Yt and Xt can be directly taken from estimation ... tY and tX, and thus they are cointegrated. In other words, tY and tX are I(1) variables and tu is I(0), which implies that tY and tX are cointegrated and 2β is the cointegrating parameter. ... observation, daily average trading volume, percentage to daily market volume, mean, standard deviation, skewness, kurtosis, Jarque- Bera and probability are presented in Table A1 in the Appendix....