Table 9 Granger-causality test on liquidity-to-volatility at 3 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 |
|---|---|---|---|---|
Liquidity  → volatility (3 levels) |  |  |  |  |
1 | 2139.38867 | 0.00000 | 0.01215 | REJECT the null hypothesis at 5% |
2 | 1203.54114 | 0.00000 | 0.01472 | REJECT the null hypothesis at 1% |
3 | 813.52325 | 0.00000 | 0.01900 | REJECT the null hypothesis at 1% |
4 | 610.98523 | 0.00000 | 0.01901 | REJECT the null hypothesis at 1% |