I'm analyzing two financial time series with Johansen method. A high Correlation coefficient using the Pearson method will help me to detect spurious cointegration models to avoid?
If this is not the case, which is the best method would provide clue about it?
I would say that you can use Johansens methods to test for rank of co-integration matrix. There are tests for that. If there is no co-integration vector present and both series are I(0) then there is no co-integration. Series still might have some short-run dynamics.
If series are I(1) and no con-integration vector is present then modeling these series by their levels and not differences can cause spurious regressions.
If series are I(1) and their co-integration matrix has reduced rank then they have one co-integration relation.