Table 13 Panel Granger causality... | Emerald Publishing

Table 13

Panel Granger causality analysis for ROA and ROE

ROA					ROE
Null hypothesis:	Obs	Lags	F-statistic	Prob.	Null hypothesis:	Obs	Lags	F-statistic	Prob.
CDR $⇏$ ROA	650	2	1.62	0.20	CDR $⇏$ ROE	650	2	1.54	0.22
ROA $\Rightarrow$ CDR	650	2	10.94	0.00	ROE $⇏$ CDR			0.64	0.53
RD $⇏$ ROA	650	2	23.28	0.00	RD $⇏$ ROE	650	2	7.14	0.00
ROA $⇏$ RD	650	2	1.35	0.26	ROE $⇏$ RD			0.64	0.53
PSR $⇏$ ROA	650	2	4.05	0.02	PSR $⇏$ ROE	650	2	1.62	0.20
ROA $⇏$ PSR	650	2	3.90	0.02	ROE $⇏$ PSR			0.84	0.43
CAR $⇏$ ROA	650	2	11.58	0.00	CAR $⇏$ ROE	650	2	4.52	0.01
ROA $⇏$ CAR	650	2	4.73	0.01	ROE $⇏$ CAR			3.93	0.02
NITA $⇏$ ROA	650	2	1.56	0.21	NITA $⇏$ ROE	650	2	1.65	0.19
ROA $⇏$ NITA	650	2	11.68	0.00	ROE $⇏$ NITA			3.08	0.05
OICTA $⇏$ ROA	650	2	0.98	0.37	OICTA $⇏$ ROE	650	2	0.10	0.90
ROA $⇏$ OICTA	650	2	3.94	0.02	ROE $⇏$ OICTA			3.09	0.05
OPPTA $⇏$ ROA	650	2	13.53	0.00	OPPTA $⇏$ ROE	650	2	5.97	0.00
ROA $⇏$ OPPTA	650	2	1.54	0.21	ROE $⇏$ OPPTA			4.84	0.01
GDPGR $⇏$ ROA	650	2	6.97	0.00	GDPGR $⇏$ ROE	650	2	15.79	0.00
ROA $⇏$ GDPGR	650	2	0.09	0.92	ROE $⇏$ GDPGR			2.59	0.08
INFL $⇏$ ROA	650	2	0.46	0.63	INFL $⇏$ ROE	650	2	7.38	0.00
ROA $⇏$ INFL	650	2	2.82	0.06	ROE $⇏$ INFL			15.11	0.00
CRR $⇏$ ROA	650	2	8.65	0.00	CRR $⇏$ ROE	650	2	22.71	0.00
ROA $⇏$ CRR	650	2	0.53	0.59	ROE $⇏$ CRR			1.41	0.25
SLR $⇏$ ROA	585	2	1.24	0.29	SLR $⇏$ ROE	585	2	2.15	0.12
ROA $⇏$ SLR	585	2	4.23	0.01	ROE $⇏$ SLR			13.02	0.00
RR $⇏$ ROA	650	2	0.83	0.43	RR $⇏$ ROE	650	2	7.37	0.00
ROA $⇏$ RR	650	2	0.75	0.47	ROE $⇏$ RR			4.23	0.02
BR $⇏$ ROA	585	2	2.78	0.06	BR $⇏$ ROE	585	2	4.78	0.01
ROA $⇏$ DBR	585	2	0.90	0.41	ROE $⇏$ DBR			1.45	0.24
TBR $⇏$ ROA	650	2	4.45	0.01	TBR $⇏$ ROE	650	2	11.15	0.00
ROA $⇏$ TBR	650	2	2.17	0.12	ROE $⇏$ TBR			13.04	0.00

ROA					ROE
Null hypothesis:	Obs	Lags	F-statistic	Prob.	Null hypothesis:	Obs	Lags	F-statistic	Prob.
CDR $⇏$ ROA	650	2	1.62	0.20	CDR $⇏$ ROE	650	2	1.54	0.22
ROA $\Rightarrow$ CDR	650	2	10.94	0.00	ROE $⇏$ CDR			0.64	0.53
RD $⇏$ ROA	650	2	23.28	0.00	RD $⇏$ ROE	650	2	7.14	0.00
ROA $⇏$ RD	650	2	1.35	0.26	ROE $⇏$ RD			0.64	0.53
PSR $⇏$ ROA	650	2	4.05	0.02	PSR $⇏$ ROE	650	2	1.62	0.20
ROA $⇏$ PSR	650	2	3.90	0.02	ROE $⇏$ PSR			0.84	0.43
CAR $⇏$ ROA	650	2	11.58	0.00	CAR $⇏$ ROE	650	2	4.52	0.01
ROA $⇏$ CAR	650	2	4.73	0.01	ROE $⇏$ CAR			3.93	0.02
NITA $⇏$ ROA	650	2	1.56	0.21	NITA $⇏$ ROE	650	2	1.65	0.19
ROA $⇏$ NITA	650	2	11.68	0.00	ROE $⇏$ NITA			3.08	0.05
OICTA $⇏$ ROA	650	2	0.98	0.37	OICTA $⇏$ ROE	650	2	0.10	0.90
ROA $⇏$ OICTA	650	2	3.94	0.02	ROE $⇏$ OICTA			3.09	0.05
OPPTA $⇏$ ROA	650	2	13.53	0.00	OPPTA $⇏$ ROE	650	2	5.97	0.00
ROA $⇏$ OPPTA	650	2	1.54	0.21	ROE $⇏$ OPPTA			4.84	0.01
GDPGR $⇏$ ROA	650	2	6.97	0.00	GDPGR $⇏$ ROE	650	2	15.79	0.00
ROA $⇏$ GDPGR	650	2	0.09	0.92	ROE $⇏$ GDPGR			2.59	0.08
INFL $⇏$ ROA	650	2	0.46	0.63	INFL $⇏$ ROE	650	2	7.38	0.00
ROA $⇏$ INFL	650	2	2.82	0.06	ROE $⇏$ INFL			15.11	0.00
CRR $⇏$ ROA	650	2	8.65	0.00	CRR $⇏$ ROE	650	2	22.71	0.00
ROA $⇏$ CRR	650	2	0.53	0.59	ROE $⇏$ CRR			1.41	0.25
SLR $⇏$ ROA	585	2	1.24	0.29	SLR $⇏$ ROE	585	2	2.15	0.12
ROA $⇏$ SLR	585	2	4.23	0.01	ROE $⇏$ SLR			13.02	0.00
RR $⇏$ ROA	650	2	0.83	0.43	RR $⇏$ ROE	650	2	7.37	0.00
ROA $⇏$ RR	650	2	0.75	0.47	ROE $⇏$ RR			4.23	0.02
BR $⇏$ ROA	585	2	2.78	0.06	BR $⇏$ ROE	585	2	4.78	0.01
ROA $⇏$ DBR	585	2	0.90	0.41	ROE $⇏$ DBR			1.45	0.24
TBR $⇏$ ROA	650	2	4.45	0.01	TBR $⇏$ ROE	650	2	11.15	0.00
ROA $⇏$ TBR	650	2	2.17	0.12	ROE $⇏$ TBR			13.04	0.00

Note(s): $⇏$ means does not Granger cause

Source(s): Authors’ own calculations