Table 5 Granger causality test results...

Table 5

Granger causality test results

Ticker	F-test	p-value
Panel A: Ho: PR does not Granger cause RPX
AJG	2.78	0.097^*
AJIT	1.33	0.251
BGFD	0.97	0.325
BGS	9.88	0.002^***
CAF	0.20	0.653
EEA	4.24	0.040^**
FJV	17.64	0.000^***
GCH	8.16	0.005^***
GF	5.30	0.022^**
IFF	1.26	0.263
IFN	2.00	0.158
ISL	6.46	0.012^**
JEQ	0.79	0.374
JFJ	1.52	0.219
JII	2.42	0.121
JMC	7.11	0.008^***
JOF	0.89	0.345
JPB	0.00	0.986
JPS	3.25	0.073^*
JRS	6.65	0.011^**
MXF	10.94	0.001^***
NAIT	11.96	0.001^***
NII	0.73	0.393
SGF	8.82	0.003^***
SJG	2.58	0.110
TDF	1.82	0.179
TRF	3.90	0.050^**
TWN	3.95	0.048^**
VNH	7.47	0.007^***
Panel B: Ho: PR does not Granger cause RNAV
AJG	0.59	0.443
AJIT	1.39	0.239
BGFD	23.77	0.000^***
BGS	0.28	0.596
CAF	2.19	0.142
EEA	0.75	0.389
FJV	2.04	0.155
GCH	1.06	0.304
GF	0.05	0.820
IFF	0.75	0.388
IFN	0.15	0.697
ISL	0.19	0.662
JEQ	6.38	0.012^**
JFJ	1.67	0.197
JII	0.09	0.763
JMC	0.65	0.419
JOF	14.23	0.000^***
JPB	2.7	0.106
JPS	0.32	0.572
JRS	0.56	0.456
MXF	1.23	0.267
NAIT	2.5	0.115
NII	0.97	0.326
SGF	0	0.972
SJG	5.61	0.019^**
TDF	3.31	0.070^*
TRF	0.08	0.784
TWN	9.13	0.003^***
VNH	0.03	0.863

Ticker	F-test	p-value
Panel A: Ho: PR does not Granger cause RPX
AJG	2.78	0.097^*
AJIT	1.33	0.251
BGFD	0.97	0.325
BGS	9.88	0.002^***
CAF	0.20	0.653
EEA	4.24	0.040^**
FJV	17.64	0.000^***
GCH	8.16	0.005^***
GF	5.30	0.022^**
IFF	1.26	0.263
IFN	2.00	0.158
ISL	6.46	0.012^**
JEQ	0.79	0.374
JFJ	1.52	0.219
JII	2.42	0.121
JMC	7.11	0.008^***
JOF	0.89	0.345
JPB	0.00	0.986
JPS	3.25	0.073^*
JRS	6.65	0.011^**
MXF	10.94	0.001^***
NAIT	11.96	0.001^***
NII	0.73	0.393
SGF	8.82	0.003^***
SJG	2.58	0.110
TDF	1.82	0.179
TRF	3.90	0.050^**
TWN	3.95	0.048^**
VNH	7.47	0.007^***
Panel B: Ho: PR does not Granger cause RNAV
AJG	0.59	0.443
AJIT	1.39	0.239
BGFD	23.77	0.000^***
BGS	0.28	0.596
CAF	2.19	0.142
EEA	0.75	0.389
FJV	2.04	0.155
GCH	1.06	0.304
GF	0.05	0.820
IFF	0.75	0.388
IFN	0.15	0.697
ISL	0.19	0.662
JEQ	6.38	0.012^**
JFJ	1.67	0.197
JII	0.09	0.763
JMC	0.65	0.419
JOF	14.23	0.000^***
JPB	2.7	0.106
JPS	0.32	0.572
JRS	0.56	0.456
MXF	1.23	0.267
NAIT	2.5	0.115
NII	0.97	0.326
SGF	0	0.972
SJG	5.61	0.019^**
TDF	3.31	0.070^*
TRF	0.08	0.784
TWN	9.13	0.003^***
VNH	0.03	0.863

Note(s): This table reports F-tests and MacKinnon p-values for Granger causality tests for two (see panels A and B, respectively) null hypotheses (Ho). ^***, ^**, and ^* denote significance at the 0.01, 0.05, and 0.10 levels, respectively

Source(s): Own elaboration

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