Table 16 Granger-causality test on volatility-to-liquidity 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 |
|---|---|---|---|---|
Volatility → liquidity (10 levels) |  |  |  |  |
1 | 5.66481 | 0.01731 | 0.00661 | REJECT the null hypothesis at 5% |
2 | 7.06459 | 0.00086 | 0.00737 | REJECT the null hypothesis at 1% |
3 | 5.91824 | 0.00049 | 0.00755 | REJECT the null hypothesis at 1% |
4 | 6.17625 | 0.00006 | 0.00823 | REJECT the null hypothesis at 1% |