Table 5 The causality test in linear model
From: Are life insurance futures a safe haven during COVID-19?
Insurance company | L | Model | \({\varvec{H}}_{{\varvec{0}}} {\varvec{:dm}}\xrightarrow{{\varvec{ \times }}}{\varvec{dp}}\) \(\left( {\sum\nolimits_{{{\varvec{i = 1}}}}^{{\varvec{L}}} {{\varvec{\alpha }}_{{{\varvec{2i}}}} } } \right)\) | \({\varvec{H}}_{{\varvec{0}}} {\varvec{:dc}}\xrightarrow{{\varvec{ \times }}}{\varvec{dp}}\) \(\left( {\sum\nolimits_{{{\varvec{i = 1}}}}^{{\varvec{L}}} {{\varvec{\alpha }}_{{{\varvec{3i}}}} } } \right)\) | \({\varvec{H}}_{{\varvec{0}}} {\varvec{:dp}}\xrightarrow{{\varvec{ \times }}}{\varvec{dm}}\) \(\left( {\sum\nolimits_{{{\varvec{i = 1}}}}^{{\varvec{L}}} {{\varvec{\beta }}_{{{\varvec{1i}}}} } } \right)\) | \({\varvec{H}}_{{\varvec{0}}} {\varvec{:dc}}\xrightarrow{{\varvec{ \times }}}{\varvec{dm}}\) \(\left( {\sum\nolimits_{{{\varvec{i = 1}}}}^{{\varvec{L}}} {{\varvec{\beta }}_{{{\varvec{3i}}}} } } \right)\) |
|---|---|---|---|---|---|---|
HDFC | 8 | VECM | 29.717*** (0.015) | 38.523*** (0.603) | 40.883*** (− 0.086) | 67.129*** (− 0.071) |
ICICI | 8 | VAR | 44.082*** (0.555) | 33.448*** (0.199) | 23.129*** (− 0.024) | 66.682*** (− 0.033) |
SBIL | 5 | VAR | 3.712 (0.110) | 17.206*** (0.353) | 5.138 (0.007) | 5.947 (0.012) |
TWN | 5 | VAR | 8.942 (0.186) | 14.660*** (0.364) | 13.016** (0.048) | 11.463** (0.032) |