Table 12 Granger-causality test on liquidity-to-volatility at 10 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 (10 levels) |  |  |  |  |
1 | 1886.33667 | 0.00000 | 0.01096 | REJECT the null hypothesis at 5% |
2 | 1044.57202 | 0.00000 | 0.01323 | REJECT the null hypothesis at 1% |
3 | 710.26221 | 0.00000 | 0.01755 | REJECT the null hypothesis at 1% |
4 | 533.07294 | 0.00000 | 0.01756 | REJECT the null hypothesis at 1% |