Table 10: Granger’s causality estimation of return (Evans and Lyons [2] data).

Daily frequencyDeutsche mark/US dollarJapanese yen/US dollar

Order flow
 L13.58 (5.8)3.44 (7.3)
 L29.72 (7.7)−1.33 (9.9)
 L3−1.75 (7.7)−5.29 (9.8)
 L43.29 (8.1)2.87 (9.7)
 L51.40 (5.8)−1.07 (7.1)
Exchange rate return
 L1−0.074 (0.21)−0.07 (0.16)
 L2−0.46 (0.21)−0.04 (0.17)
 L30.10 (0.21)−0.15 (0.16)
 L4−0.06 (0.22)0.003 (0.17)
 L5−0.10 (0.12)0.014 (0.13)
Constant−0.000515 (0.00057)0.002442 (0.00131)

Adjusted -sq−0.012987−0.059870
-statistic0.9051300.581988
value0.53390.8227

This table reports the results of the regressions of the exchange rate returns on five lags of order flow and five lags of exchange rate returns. Standard errors are reported in the parentheses after the coefficients. The -statistics and value are from the -tests, which indicate lagged order flow coefficients are not jointly different from zero.