Tokenomics in the Metaverse: understanding the lead–lag effect among emerging crypto tokens

Financial Innovation

Table 3 Granger causality analysis

Causality directions	Lag	Selection criteria	WALD statistic	P value
Leading tokens → follower tokens	4	AIC, H.Q., SC, FPE	8.6	0.07*
Follower tokens → leading tokens	4	AIC, H.Q., SC, FPE	8.8	0.07*
Leading tokens → outlier tokens	4	AIC, H.Q., SC, FPE	0.85	0.93
Outlier tokens → leading tokens	4	AIC, H.Q., SC, FPE	2.3	0.68
Follower tokens → outlier tokens	4	AIC, H.Q., SC, FPE	0.9	0.76
Outlier tokens → follower tokens	4	AIC, H.Q., SC, FPE	0.71	0.95

***p < 0.01; **p < 0.05; *p < 0.1; Selection criteria includes Akaike Information Criterion (AIC), Hannan Quinn (HQ), Schwarz Criterion (Hens and Schenk-Hoppé 2009), and Final Prediction Error (FPE)