On Spillover Effect of Systemic Risk of Listed Securities Companies in China Based on Extended CoVaR Model

Table 4

ADF test of index yield series.

Index	Obs.	Prob.	Lag	Max lag
All Share Brokerage Index	427	<0.0001	0	17
All Share Financials Index	427	<0.0001	0	17
All Share Insurance Index	427	<0.0001	0	17
CSI Banks Index	427	<0.0001	0	17
CSI 500 Index	427	<0.0001	0	17