Financial Innovation

Table 4 p values of the Granger causality test on (a) \(\ln \left( {X_{i,t} + 1} \right)\), (b) \(R_{i,t}\) of the 8 economies and (c) p values of the Granger causality test between \(\ln \left( {X_{i,t} + 1} \right)\) and \(R_{i,t}\) of each of the 8 economies

From: How does Covid-19 affect global equity markets?

	Recipient
(a)
Source	China	0.698021	0.667601	0.866272	0.826572	0.572981	0.563564	0.511255
	0.263977	Hong Kong	0.560073	0.768454	0.189710	0.440045	0.530950	0.701268
	0.012415	0.058785	South Korea	0.000268	3.13 × 10^–5	0.066047	0.057474	0.029470
	0.006643	0.007571	0.028479	Japan	0.001741	0.057504	0.015034	0.071302
	0.012658	0.007092	0.410447	0.00349	Italy	0.000460	8.85 × 10^–5	4.30 × 10^–6
	0.020633	0.001904	0.729311	0.030531	0.316916	Spain	0.002139	5.50 × 10^–7
	0.020569	0.002761	0.759329	0.054139	0.382101	0.370744	France	1.31 × 10^–8
	0.057389	0.008927	0.606892	0.086722	0.197307	0.115558	0.000476	Germany
(b)
Source	China	0.544424	0.039571	0.838035	0.492295	0.958960	0.857592	0.879781
	0.791993	Hong Kong	0.001358	0.823920	0.913958	0.605238	0.909366	0.931905
	0.280445	0.000121	South Korea	0.169997	0.678331	0.058796	0.050618	0.028812
	0.182089	0.001932	0.231562	Japan	0.905928	0.008052	0.027710	0.017987
	0.492295	0.287735	0.471281	0.033015	Italy	0.000802	0.014574	0.011477
	0.802468	0.932675	0.853021	0.000586	0.516475	Spain	0.104732	0.136393
	0.591066	0.271251	0.715945	0.000698	0.337280	0.158152	France	0.846873
	0.556160	0.229315	0.731679	0.000549	0.415052	0.235021	0.722761	Germany
(c)
	China	Hong Kong	South Korea	Japan	Italy	Spain	France	Germany
\(\ln \left( {X_{i,t} + 1} \right)\) -> \(R_{i,t}\)	0.121281	0.437926	0.253122	0.057691	0.209052	0.00234	0.000676	0.002094
\(R_{i,t}\) -> \(\ln \left( {X_{i,t} + 1} \right)\)	0.794184	0.294549	0.651025	0.446594	0.648026	0.758888	0.487102	0.420531

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