As per the definition of co-integration, a system is called co-integrated if that system is integrated (with non zero order) but there exist some linear relationship among the underlying variables which is of order less than "d" (d: the order of the main system.)

Therefore if all your variables are Stationary/Stable then co-integration would not be defined.

In fact for any stationary system, finding a linear stationary relationship is trivial as you are applying some stationary operator on stationary variables. Hence you do not need any fancy testing system to prove/disprove the existance of any such linear relationship.

HTH

_____________________________________________________

Arun Kumar Saha, FRM

QUANTITATIVE RISK AND HEDGE CONSULTING SPECIALIST

Visit me at:

http://in.linkedin.com/in/ArunFRM_______________________________________________