**Appendix A**

**Table A1.** Portfolio cointegration and Granger causality test (*p*-value).


Notes: In this table, four pairs of index and returns are tested in Engle–Granger cointegration and causality. The maximum lag is set as 5. In the Granger causality test, A → B implies that A is the Granger cause of B, vise verse. We test the cointegration on originally daily index values, while testing the Granger causality on daily returns.
