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 |
---|---|---|---|---|
Stop-loss assumed at run length > 9 |  |  |  |  |
1 | 15.84370 | 0.00008 | 0.22649 | REJECT the null hypothesis at 1% |
2 | 7.94347 | 0.00041 | 0.27563 | REJECT the null hypothesis at 1% |
3 | 6.42414 | 0.00029 | 0.30054 | REJECT the null hypothesis at 1% |
4 | 3.41960 | 0.00912 | 0.33316 | REJECT the null hypothesis at 1% |