Table 14 Granger-causality test on volatility-to-liquidity 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 |
|---|---|---|---|---|
Volatility  → liquidity (5 levels) |  |  |  |  |
1 | 18.41980 | 0.00002 | 0.004444 | REJECT the null hypothesis at 1% |
2 | 31.42196 | 0.00000 | 0.00600 | REJECT the null hypothesis at 1% |
3 | 27.73387 | 0.00000 | 0.674 | REJECT the null hypothesis at 1% |
4 | 23.12213 | 0.00000 | 0.007466 | REJECT the null hypothesis at 1% |