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”.