VAR estimation results for pairs of markets: Granger causality tests.

Those two tables present results from a six-variable VAR for the cross-section of pair of markets i and j. The horizontal row represents market i, which is the dependent variable and the vertical row represents market j, which is the independent variable. The Granger causality is from market j to market i. p-Values of the null hypothesis that the column variable does not Granger cause the row variable are presented for selected markets. Illiquidity is measured using the Amihud measure for each market. All variables are adjusted for deterministic time series variations. We choose the number of lags based on the SC and HQ criteria. The sample runs from January 1, 2010 to March 22, 2021. ** denotes significance at the 5% level and *denotes significance at the 10% level.