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Table 10 Granger-causality test on liquidity-to-volatility at 5 liquidity levels

From: A theory of very short-time price change: security price drivers in times of high-frequency trading

Lag

F-value

p-value

Adj. R2

Null hypothesis of NO Granger causation

Liquidity →  volatility (5 levels)

    

1

2321.79102

0.00000

0.01300

REJECT the null hypothesis at 5%

2

1221.69885

0.00000

0.01489

REJECT the null hypothesis at 1%

3

834.84369

0.00000

0.01930

REJECT the null hypothesis at 1%

4

626.72125

0.00000

0.01931

REJECT the null hypothesis at 1%