Johansen cointegration and VECM? I am confused about how to proceed about testing for cointegration. I am interested in testing for cointegration between 3 stock indices. 

I was instructed to use returns and not prices. So my question is how do I proceed about identifying a cointegrating relationship since the definition is finding a combination of I(1) variables that is I(0). Since returns are I(0) because they are the first differences, can I still use the Johansen test?
Cointegration testing usually goes in this way:


Have very clear which is the "long-run" relationship among variables your theory predicts. The point about cointegration is that there is at least one common trend among the variables. In your case, you would expect that the price of the three stocks move in tandem, based on some underlying market phenomena like economic growth, volatility, etc. In this case, the long run relationship between variables  in likely to be in levels (price of stocks).
Test for unit root on each variable in levels. There are plenty of tests here (ADF, KPSS, etc). You want to find that these variables are I(1) or maybe I(2). 
Perform the Johansen cointegration test. If you reject the null hypothesis of cointegration ($r=0$), then there is not a common trend among the variables, and they are not cointegrated. Do not run regressions with them in levels, as any result will be spurious. If you do happen to find cointegration ($0&lt;r\leq n$), then estimate the VECM, from where you can get the cointegration vector(s) that define the common trend(s).