Table 4. Wavelet-based Granger causality...

Table 4.

Wavelet-based Granger causality test between WTIR and SCIR

Oil price (WTIR)	Time domain		Frequency bands (months)
	SCIR
	Raw series	D1	D2	D3	D4	D5	D6	S6
H0: WTI price do not Granger cause SCIR
Raw series	6.36560***	1.71802	1.56212	0.51864	0.91534	0.24711	0.75200	0.62419
D1	1.45394	5.19520***	0.52965	1.00714	0.30474	0.14699	0.46867	0.74700
D2	1.11685	0.91789	3.00179**	1.41940	0.46889	0.35790	0.23619	0.63416
D3	0.83320	0.17196	0.55323	0.581722***	0.31207	0.97728	0.23338	1.83490
D4	0.53293	0.85328	1.03769	1.98728*	11.4910***	0.18660	1.31300	1.09530
D5	0.90354	0.16137	0.14547	0.56475	0.69121	12.271***	0.73481	2.09505*
D6	0.45115	0.19381	0.38997	1.49927	0.27488	1.54147	14.9458***	0.63435
S6	0.17625	0.09495	0.87143	0.36275	1.53051	0.74972	2.71285**	21.7284***
SCIR	Time domain		Frequency bands (months)
	Oil price (WTIR)
	Raw series	D1	D2	D3	D4	D5	D6	S6
H0: SCIR do not granger cause WTI crude oil price (WTIR)
Raw series	0.55921	2.84229**	0.90356	0.39278	0.53689	0.85982	0.56393	0.52962
D1	2.80892**	0.87528	1.26333	0.43139	0.59941	0.88992	0.20095	0.98746
D2	0.65697	1.96230*	3.70944***	0.34886	1.77966	0.23086	1.42983	0.92621
D3	0.56604	0.38326	1.02906	2.55250**	0.20935	1.94379*	0.96512	2.50302**
D4	0.39349	0.72876	0.57160	0.08180	1.55918	0.46776	1.73973	0.91728
D5	1.31870	0.20887	0.19562	0.56626	0.67038	3.56601***	0.19792	0.68459
D6	0.29526	0.08940	0.11396	0.29297	0.19059	1.23691	2.22199**	0.20270
S6	0.54173	0.06886	0.67879	0.71325	1.93165	1.62130	3.60358***	9.35585***

Notes:

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

Oil price(WTIR)	Time domain		Frequency bands (months)
	SCIR
	Raw series	D1	D2	D3	D4	D5	D6	S6
H0: WTI price do not Granger cause SCIR
Raw series	6.36560***	1.71802	1.56212	0.51864	0.91534	0.24711	0.75200	0.62419
D1	1.45394	5.19520***	0.52965	1.00714	0.30474	0.14699	0.46867	0.74700
D2	1.11685	0.91789	3.00179**	1.41940	0.46889	0.35790	0.23619	0.63416
D3	0.83320	0.17196	0.55323	0.581722***	0.31207	0.97728	0.23338	1.83490
D4	0.53293	0.85328	1.03769	1.98728*	11.4910***	0.18660	1.31300	1.09530
D5	0.90354	0.16137	0.14547	0.56475	0.69121	12.271***	0.73481	2.09505*
D6	0.45115	0.19381	0.38997	1.49927	0.27488	1.54147	14.9458***	0.63435
S6	0.17625	0.09495	0.87143	0.36275	1.53051	0.74972	2.71285**	21.7284***
SCIR	Time domain		Frequency bands (months)
	Oil price (WTIR)
	Raw series	D1	D2	D3	D4	D5	D6	S6
H0: SCIR do not granger cause WTI crude oil price (WTIR)
Raw series	0.55921	2.84229**	0.90356	0.39278	0.53689	0.85982	0.56393	0.52962
D1	2.80892**	0.87528	1.26333	0.43139	0.59941	0.88992	0.20095	0.98746
D2	0.65697	1.96230*	3.70944***	0.34886	1.77966	0.23086	1.42983	0.92621
D3	0.56604	0.38326	1.02906	2.55250**	0.20935	1.94379*	0.96512	2.50302**
D4	0.39349	0.72876	0.57160	0.08180	1.55918	0.46776	1.73973	0.91728
D5	1.31870	0.20887	0.19562	0.56626	0.67038	3.56601***	0.19792	0.68459
D6	0.29526	0.08940	0.11396	0.29297	0.19059	1.23691	2.22199**	0.20270
S6	0.54173	0.06886	0.67879	0.71325	1.93165	1.62130	3.60358***	9.35585***

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