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Table 18 Granger Causality Tests on PMG and PML: Decomposition with High Price Extremes

From: Timing the market: the economic value of price extremes

  Panel A: Monthly Data Observations Panel B: Quarterly Data Observations
Lags 2 4 6 2 4 6
HS: PMG /→ PML 0.069 0.033 0.068 0.078 0.551 0.797
HS: PML /→ PMG 0.000 0.000 0.001 0.175 0.132 0.155
ST: PMG /→ PML 0.924 0.524 0.417 0.726 0.730 0.811
ST: PML ST /→ PMG 0.000 0.000 0.000 0.000 0.000 0.000
NK: PMG /→ PML 0.463 0.842 0.904 0.815 0.601 0.453
NK: PML /→ PMG 0.000 0.000 0.000 0.024 0.075 0.210
FT: PMG /→ PML 0.894 0.919 0.304 0.478 0.364 0.501
FT: PML /→ PMG 0.000 0.000 0.000 0.006 0.031 0.028
NASDAQ:PMG /→ PML 0.001 0.004 0.055 0.614 0.022 0.124
NASDAQ:PML /→ PMG 0.000 0.000 0.000 0.000 0.000 0.000
SSEC: PMG /→ PML 0.056 0.016 0.006    
SSEC: PML /→ PMG 0.032 0.080 0.310    
TSEC: PMG /→ PML 0.719 0.655 0.218    
TSEC: PML /→ PMG 0.000 0.000 0.000    
KOSPI: PMG /→ PML 0.055 0.334 0.059    
KOSPI: PML /→ PMG 0.000 0.000 0.000    
DAX : PMG /→ PML 0.508 0.944 0.690    
DAX: PML /→ PMG 0.000 0.000 0.000    
CAC: PMG /→ PML 0.271 0.328 0.269    
CAC: PML /→ PMG 0.000 0.000 0.000    
  1. Note: X /→Y means the null hypothesis that X does not Granger-causes Y. This table reports the p-values of the F -statistics. To make sure that there are enough data observations to perform Granger causality tests, therefore, for quarterly data observations, we only perform Granger causality tests on SP500, NASDAQ, FTSE100, HS, NK and ST.