Table 6.

Pair-wise Granger causality tests

NullChi-squaredDegrees of freedomp-valueConclusion
Green bond does not Granger-cause green sukuk0.221120.895Do not reject
Green sukuk does not Granger-cause green bond1.167920.558Do not reject

Note(s):

The first panel provides the test results for the hypothesis that changes in the yields of green bond do no not affect changes in the yields of green sukuk. The second panel presents the test statistics for the hypothesis that changes in the yields of green sukuk do not affect changes in the yields of green bond. The Chi-squared denotes the Chi-squared statistic value obtained from the test. Degree of Freedom represents the degrees of freedom associated with the Chi-squared test. Conclusion indicates the results of the hypothesis test based on the p-value, specifying whether the null hypothesis is rejected or not. p-value indicates the probability that the observed results occurred by chance, with significance levels denoted as *p < 0.10, **p < 0.05, ***p < 0.01

Source(s): Authors’ own work

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