Table 3.

Wavelet-based Granger causality test between WTIR and CNXR

CNX Nifty
(CNXR)		Time domainFrequency bands (months)
Oil price (WTIR)
Raw seriesD1D2D3D4D5D6S6
H0: CNX Nifty (CNXR) do not Granger cause WTI crude oil price (WTIR)
Raw series2.40163**0.420450.442480.663302.09621*2.61370**1.047020.14464
D10.676482.09855*0.926080.443550.850370.284802.28115**0.65790
D21.256140.470250.887431.511960.867490.260380.572902.14351*
D31.290480.115621.90833*1.77181*0.883412.55467**1.307451.59949
D40.578802.56440**2.45351**0.347015.66899***0.360162.41631**0.87409
D50.184870.603661.334690.202051.93672*2.24452**1.091861.04507
D60.381580.136330.168560.097780.218581.247780.705741.61708
S60.289270.150940.327700.427283.32458***2.25238**0.817194.76741***
Oil price
(WTIR)		Time domainFrequency bands (months)
CNX Nifty (CNXR)
Raw seriesD1D2D3D4D5D6S6
H0: WTI price do not Granger cause CNX Nifty (CNXR)
Raw series2.50054**1.85125*0.356910.866342.44955**0.161311.201750.40114
D10.594111.089201.041420.545321.836370.670801.331020.61742
D20.248050.622554.02652***0.728320.678950.913830.929000.24388
D30.916750.681840.826743.87723***1.88945*2.81195**0.512030.28059
D40.921260.267430.449930.662313.44853***0.382122.25210*2.67286**
D50.932821.143250.639961.044721.74843*11.6446***0.439253.03075***
D60.265961.014310.890040.681790.664260.054494.34890***0.28443
S60.527280.009460.112021.359340.234620.033600.665674.25684***

Notes:

*, **, *** represents significance at 10%, 5% and 1% significance level respectively

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