Table 11 Granger-causality test on liquidity-to-volatility at 7 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 (7 levels) |  |  |  |  |
1 | 2266.32373 | 0.00000 | 0.01274 | REJECT the null hypothesis at 5% |
2 | 1214.91748 | 0.00000 | 0.01482 | REJECT the null hypothesis at 1% |
3 | 826.32660 | 0.00000 | 0.01918 | REJECT the null hypothesis at 1% |
4 | 620.29791 | 0.00000 | 0.01919 | REJECT the null hypothesis at 1% |