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Financial Innovation

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
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