Table 6

VECM Granger causality/block exogeneity Wald test

CommodityH0Chi-squareProb.Relation
CopperCash does not cause futures1.2670.260Unidirectional
Future does not cause cash107.6090.000*

Note(s): *indicates that the null hypothesis is rejected at a 1 per cent statistical level

Source(s): Authors’ calculation
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