Skip to main content

Table 15 Granger-causality test on volatility-to-liquidity 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

Volatility  → liquidity (7 levels)

    

1

8.74758

0.00310

0.00679

REJECT the null hypothesis at 1%

2

21.10105

0.00000

0.00954

REJECT the null hypothesis at 1%

3

17.99542

0.00000

0.00975

REJECT the null hypothesis at 1%

4

15.44412

0.00000

0.01032

REJECT the null hypothesis at 1%