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% |