Date: 02/20/08   Time: 11:04

Sample (adjusted): 8/01/2005 10/31/2007

Included observations: 501 after adjustments

Trend assumption: Linear deterministic trend

Series: RMBPHKD STOCKB 

Lags interval (in first differences): 1 to 4

Hypothesized

Trace

5 Percent

1 Percent

No. of CE(s)

Eigenvalue

Statistic

Critical Value

Critical Value

None

 0.021148

 11.37817

 15.41

 20.04

At most 1

 0.001336

 0.669545

  3.76

  6.65

 Trace test indicates no cointegration at both 5% and 1% levels

 *(**) denotes rejection of the hypothesis at the 5%(1%) level

Hypothesized

Max-Eigen

5 Percent

1 Percent

No. of CE(s)

Eigenvalue

Statistic

Critical Value

Critical Value

None

 0.021148

 10.70863

 14.07

 18.63

At most 1

 0.001336

 0.669545

  3.76

  6.65

 Max-eigenvalue test indicates no cointegration at both 5% and 1% levels

 *(**) denotes rejection of the hypothesis at the 5%(1%) level

 Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I): 

RMBPHKD

STOCKB

 1.134291

 0.027932

-0.206888

-0.015697

 Unrestricted Adjustment Coefficients (alpha): 

D(RMBPHKD)

 0.005564

 0.002393

D(STOCKB)

-0.684151

 0.083557

1 Cointegrating Equation(s): 

Log likelihood

-951.7308

Normalized cointegrating coefficients (standard error in parentheses)

RMBPHKD

STOCKB

 1.000000

 0.024625