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% |