| Vol. −> Liq. | Liq. −> Vol. | % Significant results |
---|
SPR | 11 | 37 | 80.00 |
% of significant | 22.92 | 77.1 | Â |
PSPR | 7 | 28 | 58.33 |
% of significant | 20 | 80 | Â |
DEP | 11 | 22 | 55.00 |
% of significant | 33.33 | 66.67 | Â |
ESPR | 26 | 24 | 83.33 |
% of significant | 52 | 48 | Â |
PESPR | 15 | 24 | 65.00 |
% of significant | 38.46 | 61.54 | Â |
- We test if liquidity Granger causes volatility (Liq. → Vol.) or if volatility Granger causes liquidity (Vol. → Liq.). We report the total number of significant extreme F-test statistics for each test direction. %-Significant results denotes the percentage of t-statistics greater than the 5% critical level in a one tailed test (+ 1.645). SPR is the quoted spread, PSPR is the proportional spread, DEP is the depth, ESPR is the effective spread, and PESPR is the proportional effective spread