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Table 4 Granger Causality

From: Did green debt instruments aid diversification during the COVID-19 pandemic?

Panel A – Pre-COVID

Panel B – COVID-19

Dependent Variable

Bonds

Sukuk

Green Sukuk

Conventional Stock

Islamic Stocks

Bonds

Sukuk

Green Sukuk

Conventional Stock

Islamic Stocks

Bonds

 

4.1662

7.7015*

2.1116

0.51263

 

11.268**

37.038***

3.1416

5.2473

  

(0.244)

(0.053)

(0.550)

(0.916)

 

(0.010)

(0.000)

(0.370)

(0.155)

Sukuk

4.9806

 

20.639***

4.6605

3.8434

6.1361

 

280.31***

4.5941

5.8249

 

(0.173)

 

(0.000)

(0.198)

(0.279)

(0.105)

 

(0.000)

(0.204)

(0.120)

Green Sukuk

0.93114

3.2549

 

6.1314

4.8424

9.6376*

38.768***

 

4.7567

6.1779

 

(0.818)

(0.354)

 

(0.105)

(0.184)

(0.022)

(0.000)

 

(0.191)

(0.103)

Conventional Stock

3.172

5.551

10.105**

 

4.1254

0.83493

6.2745*

37.63***

 

6.0587

 

(0.366)

(0.136)

(0.018)

 

(0.866)

(0.841)

(0.099)

(0.000)

 

(0.170)

Islamic Stocks

5.2739

5.7914

7.408*

3.311

 

2.3226

7.9474**

35.145***

4.9063

 
 

(0.153)

(0.122)

(0.060)

(0.346)

 

(0.508)

(0.047)

(0.000)

(0.179)

 
  1. This table provides the Granger causality WALD test results for the five financial assets under discussion. The table presents the chi2 value and and p value in parenthesis for each granger causal relation. Panel A provides the VAR Granger causality WALD test for the pre-COVID-19 period (March 4, 2019 to March 1, 2020) and Panel B provides VAR Granger causality WALD test for the COVID-19 period (March 2, 2020 to December 4, 2020). First column presenting the dependent variable. *, **, *** denote significance at 10%, 5%, 1% respectively