Table 5

Granger-causality between variables

EquationExcludedχ2dfp > χ2
ISIRet0.026920.9870
ISIVol0.225820.8930
ISIALL0.241940.9930
RetIS2.697220.2600
RetVol6.034120.0490
RetALL8.210140.0840
VolISI0.097220.9530
VolRet7.211020.0270
VolALL7.241940.1240

Note(s):p < 0.01 is significant at 1%, p < 0.05 is significant at 5% and p < 0.10 is significant at 10%

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