| |
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
|
- 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