Table 6 Granger causality using VECM... | Emerald Publishing

Table 6

Granger causality using VECM model w.r.t NIFTY50

		Full data	Phase 1	Phase 2	Phase 3
S&P 500	F-value	3.57	2.66	3.342	2.4
	Conclusion	S&P 500 does Granger-cause NIFTY50	S&P 500 does Granger-cause NIFTY50	S&P 500 does Granger-cause NIFTY50	S&P 500 does Granger-cause NIFTY50
Hang Seng	F-value	1.416	0.8655	2.435	1.312
	Conclusion	Hang Seng does Granger-cause NIFTY50	Hang Seng does not Granger-cause NIFTY50	Hang Seng does Granger-cause NIFTY50	Hang Seng does not Granger-cause NIFTY50
Singapore STI	F-value	1.273	1.819	2.179	1.901
	Conclusion	Singapore STI does not Granger-cause NIFTY50	Singapore STI does Granger-cause NIFTY50	Singapore STI does Granger-cause NIFTY50	Singapore STI does Granger-cause NIFTY50
Shanghai Co	F-value	2.098	1.969	2.997	1.945
	Conclusion	Shanghai comp does Granger-cause NIFTY50	Shanghai comp does Granger-cause NIFTY50	Shanghai comp does Granger-cause NIFTY50	Shanghai comp does Granger-cause NIFTY50
FTSE 100	F-value	1.525	1.711	2.498	1.672
	Conclusion	FTSE 100 does Granger-cause NIFTY50	FTSE 100 does Granger-cause NIFTY50	FTSE 100 does Granger-cause NIFTY50	FTSE 100 does Granger-cause NIFTY50
Nikkei 225	F-value	1.329*	2.037	1.721	1.764
	Conclusion	Nikkei does Granger-cause NIFTY50	Nikkei does Granger-cause NIFTY50	Nikkei does Granger-cause NIFTY50	Nikkei does Granger-cause NIFTY50

		Full data	Phase 1	Phase 2	Phase 3
S&P 500	F-value	3.57	2.66	3.342	2.4
	Conclusion	S&P 500 does Granger-cause NIFTY50	S&P 500 does Granger-cause NIFTY50	S&P 500 does Granger-cause NIFTY50	S&P 500 does Granger-cause NIFTY50
Hang Seng	F-value	1.416	0.8655	2.435	1.312
	Conclusion	Hang Seng does Granger-cause NIFTY50	Hang Seng does not Granger-cause NIFTY50	Hang Seng does Granger-cause NIFTY50	Hang Seng does not Granger-cause NIFTY50
Singapore STI	F-value	1.273	1.819	2.179	1.901
	Conclusion	Singapore STI does not Granger-cause NIFTY50	Singapore STI does Granger-cause NIFTY50	Singapore STI does Granger-cause NIFTY50	Singapore STI does Granger-cause NIFTY50
Shanghai Co	F-value	2.098	1.969	2.997	1.945
	Conclusion	Shanghai comp does Granger-cause NIFTY50	Shanghai comp does Granger-cause NIFTY50	Shanghai comp does Granger-cause NIFTY50	Shanghai comp does Granger-cause NIFTY50
FTSE 100	F-value	1.525	1.711	2.498	1.672
	Conclusion	FTSE 100 does Granger-cause NIFTY50	FTSE 100 does Granger-cause NIFTY50	FTSE 100 does Granger-cause NIFTY50	FTSE 100 does Granger-cause NIFTY50
Nikkei 225	F-value	1.329*	2.037	1.721	1.764
	Conclusion	Nikkei does Granger-cause NIFTY50	Nikkei does Granger-cause NIFTY50	Nikkei does Granger-cause NIFTY50	Nikkei does Granger-cause NIFTY50

Source(s): Own elaboration