Table 2 The results of Granger causality test

lag2 lag3 lag4 lag5 lag6
Total gN ↛VolN 0.0002 0.0001 0.0003 0.0004 0.0011
VolN ↛gN 0.0291 0.0493 0.1072 0.1585 0.3686
SMetro gN ↛VolN 0.2688 0.0636 0.0131 0.0256 0.0509
VolN ↛gN 0.0194 0.0293 0.0085 0.0076 0.0902
5Cities gN ↛VolN 0.0000 0.0005 0.0028 0.0025 0.0086
VolN ↛gN 0.0007 0.0835 0.1707 0.1156 0.1318
NMetro gN ↛VolN 0.0000 0.0000 0.0003 0.0006 0.0009
VolN ↛gN 0.0029 0.0442 0.0502 0.1221 0.1560
All numbers represent probability of F-statistic in Granger causality test.
The dark cells show the cases of rejecting the null hypothesis under 5% level of test critical values.
Null hypothesis: “gN does not Granger cause VolN” or “VolN does not Granger cause gN”.