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 > 5 |  |  |  |  |
1 | 15.40207 | 0.00010 | 0.10890 | REJECT the null hypothesis at 1% |
2 | 8.20498 | 0.00030 | 0.17590 | REJECT the null hypothesis at 1% |
3 | 5.74544 | 0.00069 | 0.17985 | REJECT the null hypothesis at 1% |
4 | 4.83712 | 0.00074 | 0.21412 | REJECT the null hypothesis at 1% |