Table 23.

Pairwise Granger causality test for stocks and oil prices

FromToF-statisticsp-value
diff LN IBOVESPA_1diff LN AL_11.290.26
diff LN AL_1diff LN IBOVESPA_10.020.88
diff LN CHISHA_1diff LN AL_10.080.77
diff LN AL_1diff LN CHISHA_10.290.59
diff LN GERDAX30_1diff LN AL_10.330.57
diff LN AL_1diff LN GERDAX30_10.670.41
diff LN IND BOMB_1diff LN AL_10.530.46
diff LN AL_1diff LN IND BOMB_10.350.55
diff LN UKFTSE100_1diff LN AL_10.120.73
diff LN AL_1diff LN UKFTSE100_10.360.55
diff LN USNYSE_1diff LN AL_10.000.97
diff LN AL_1diff LN USNYSE_10.090.76
diff LN IBOVESPA_2diff LN AL_20.05*0.05*
diff LN AL_2diff LN IBOVESPA_20.000.67
diff LN CHISHA_2diff LN AL_2−0.010.61
diff LN AL_2diff LN CHISHA_20.03*0.00*
diff LN GERDAX30_2diff LN AL_20.020.45
diff LN AL_2diff LN GERDAX30_20.020.11
diff LN IND BOMB_2diff LN AL_20.020.44
diff LN AL_2diff LN IND BOMB_20.010.62
diff LN UKFTSE100_2diff LN AL_20.010.82
diff LN AL_2diff LN UKFTSE100_20.010.13
diff LN USNYSE_2diff LN AL_2−0.11*0.00*
diff LN AL_2diff LN USNYSE_2−0.010.21

Notes:

Table summarizes Granger-causality outcomes.

*

indicates causality in the Granger sense at 5% level

Source: Personal elaboration on Datastream (2021) 
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