Table 3. Wavelet-based Granger causality...

Table 3.

Wavelet-based Granger causality test between WTIR and CNXR

CNX Nifty (CNXR)	Time domain		Frequency bands (months)
	Oil price (WTIR)
	Raw series	D1	D2	D3	D4	D5	D6	S6
H0: CNX Nifty (CNXR) do not Granger cause WTI crude oil price (WTIR)
Raw series	2.40163**	0.42045	0.44248	0.66330	2.09621*	2.61370**	1.04702	0.14464
D1	0.67648	2.09855*	0.92608	0.44355	0.85037	0.28480	2.28115**	0.65790
D2	1.25614	0.47025	0.88743	1.51196	0.86749	0.26038	0.57290	2.14351*
D3	1.29048	0.11562	1.90833*	1.77181*	0.88341	2.55467**	1.30745	1.59949
D4	0.57880	2.56440**	2.45351**	0.34701	5.66899***	0.36016	2.41631**	0.87409
D5	0.18487	0.60366	1.33469	0.20205	1.93672*	2.24452**	1.09186	1.04507
D6	0.38158	0.13633	0.16856	0.09778	0.21858	1.24778	0.70574	1.61708
S6	0.28927	0.15094	0.32770	0.42728	3.32458***	2.25238**	0.81719	4.76741***
Oil price (WTIR)	Time domain		Frequency bands (months)
	CNX Nifty (CNXR)
	Raw series	D1	D2	D3	D4	D5	D6	S6
H0: WTI price do not Granger cause CNX Nifty (CNXR)
Raw series	2.50054**	1.85125*	0.35691	0.86634	2.44955**	0.16131	1.20175	0.40114
D1	0.59411	1.08920	1.04142	0.54532	1.83637	0.67080	1.33102	0.61742
D2	0.24805	0.62255	4.02652***	0.72832	0.67895	0.91383	0.92900	0.24388
D3	0.91675	0.68184	0.82674	3.87723***	1.88945*	2.81195**	0.51203	0.28059
D4	0.92126	0.26743	0.44993	0.66231	3.44853***	0.38212	2.25210*	2.67286**
D5	0.93282	1.14325	0.63996	1.04472	1.74843*	11.6446***	0.43925	3.03075***
D6	0.26596	1.01431	0.89004	0.68179	0.66426	0.05449	4.34890***	0.28443
S6	0.52728	0.00946	0.11202	1.35934	0.23462	0.03360	0.66567	4.25684***

Notes:

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

CNX Nifty(CNXR)	Time domain		Frequency bands (months)
	Oil price (WTIR)
	Raw series	D1	D2	D3	D4	D5	D6	S6
H0: CNX Nifty (CNXR) do not Granger cause WTI crude oil price (WTIR)
Raw series	2.40163**	0.42045	0.44248	0.66330	2.09621*	2.61370**	1.04702	0.14464
D1	0.67648	2.09855*	0.92608	0.44355	0.85037	0.28480	2.28115**	0.65790
D2	1.25614	0.47025	0.88743	1.51196	0.86749	0.26038	0.57290	2.14351*
D3	1.29048	0.11562	1.90833*	1.77181*	0.88341	2.55467**	1.30745	1.59949
D4	0.57880	2.56440**	2.45351**	0.34701	5.66899***	0.36016	2.41631**	0.87409
D5	0.18487	0.60366	1.33469	0.20205	1.93672*	2.24452**	1.09186	1.04507
D6	0.38158	0.13633	0.16856	0.09778	0.21858	1.24778	0.70574	1.61708
S6	0.28927	0.15094	0.32770	0.42728	3.32458***	2.25238**	0.81719	4.76741***
Oil price(WTIR)	Time domain		Frequency bands (months)
	CNX Nifty (CNXR)
	Raw series	D1	D2	D3	D4	D5	D6	S6
H0: WTI price do not Granger cause CNX Nifty (CNXR)
Raw series	2.50054**	1.85125*	0.35691	0.86634	2.44955**	0.16131	1.20175	0.40114
D1	0.59411	1.08920	1.04142	0.54532	1.83637	0.67080	1.33102	0.61742
D2	0.24805	0.62255	4.02652***	0.72832	0.67895	0.91383	0.92900	0.24388
D3	0.91675	0.68184	0.82674	3.87723***	1.88945*	2.81195**	0.51203	0.28059
D4	0.92126	0.26743	0.44993	0.66231	3.44853***	0.38212	2.25210*	2.67286**
D5	0.93282	1.14325	0.63996	1.04472	1.74843*	11.6446***	0.43925	3.03075***
D6	0.26596	1.01431	0.89004	0.68179	0.66426	0.05449	4.34890***	0.28443
S6	0.52728	0.00946	0.11202	1.35934	0.23462	0.03360	0.66567	4.25684***

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