Table 13 Granger-causality test on volatility-to-liquidity at 3 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 |
|---|---|---|---|---|
Volatility  → liquidity (3 levels) |  |  |  |  |
1 | 4.75698 | 0.02918 | 0.00584 | REJECT the null hypothesis at 5% |
2 | 6.59386 | 0.00137 | 0.00686 | REJECT the null hypothesis at 1% |
3 | 6.73184 | 0.00015 | 0.00762 | REJECT the null hypothesis at 1% |
4 | 6.95852 | 0.00001 | 0.00823 | REJECT the null hypothesis at 1% |