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Table 12 Granger Causality Tests between BitCoin log returns and both negative (OF) and positive overreactions (OF +)

From: Bitcoin fluctuations and the frequency of price overreactions

  Null hypothesis: no causality
Excluded Y \( OF^{ - } \) \( OF^{ + } \)
  Chi-sq Probability Chi-sq Probability Chi-sq Probability
Y 3.6428 0.0563* 8.6296 0.0033***
\( OF^{ - } \) 1.2724 0.2593 7.8424 0.0051***
\( OF^{ + } \) 1.4541 0.2279 0.0011*** 0.9725
All 1.4902 0.4747 14.4342 0.0007*** 9.0730 0.0107**
Null hypothesis Not rejected Rejected Rejected
  1. This table presents chi-square and probability estimates from the Granger Causality Tests. The first column reports the parameters used in Granger Causality Tests, the second and third columns show, respectively, chi-square and probability estimates for BitCoin log returns (Y); the fourth and fifth columns show, respectively, chi-square and probability estimates for negative overreactions (OF); the sixth and seventh columns show, respectively, chi-square and probability estimates for positive overreactions (OF+). Significance at the 1%, 5%, and 10% levels is indicated by ***, **, and *, respectively