Engle Granger cointegration test

[Ranger1]

Hi, there!

I want to analyze two series of returns on stock indices and to employ the Engle Granger procudure for it.

That is, I run the linear regression between them => save the residual => check it for stationarity.

My returns are stationary, I(0) - they are not integrated I(1)

Can I run the Engle Granger cointegration test in that case.

Could you please explain the steps?

Thanks!