Skip to main content

Table 7 Panel granger causality test results

From: Investor sentiments and stock markets during the COVID-19 pandemic

Null Hypothesis Test stat p-value
COV-19 does not cause CAR 12.150 0.000
CAR does not cause COV-19 0.410 0.522
VAC does not cause CAR 4.980 0.026
CAR does not cause VAC 0.809 0.368
COV-19 does not cause LVOL 54.171 0.000
LVOL does not cause COV-19 1.791 0.181
VAC does not cause LVOL 25.006 0.000
LVOL does not cause VAC 10.950 0.001
  1. ***, **, and * indicate the presence of causality relation at the 1%, 5%, and 10% significance levels, respectively