Table 6: Granger’s causality estimation of (6) (5-minute frequency).

Day 1Day 2Day 3Day 4Day 5

Order flow
 L1−0.118071
(0.19506)
−0.137330
(0.16762)
0.218996
(0.16716)
−0.220818
(0.23302)
0.293388
(0.20688)
 L2−0.120591
(0.19228)
−0.088450
(0.16622)
−0.060422
(0.16300)
−0.013327
(0.23357)
−0.299061
(0.20852)
 L30.108081
(0.19130)
−0.172152
(0.16703)
0.268007
(0.15693)
−0.447154
(0.23714)
−0.410111
(0.20512)
 L4−0.190258
(0.18857)
−0.311102
(0.16644)
−0.051263
(0.15932)
−0.014220
(0.23410)
0.235299
(0.21190)
 L5−0.022752
(0.18485)
0.270998
(0.15131)
−0.096563
(0.15590)
0.167554
(0.23372)
−0.269974
(0.20186)
Exchange rate return
 L10.150455
(0.17953)
0.256772
(0.16881)
0.023109
(0.17056)
0.257228
(0.17044)
−0.135055
(0.17139)
 L20.064654
(0.17867)
−0.043441
(0.16814)
−0.086769
(0.16403)
0.148246
(0.17029)
0.031216
(0.17199)
 L3−0.015274
(0.17925)
0.217579
(0.16979)
−0.239797
(0.16118)
0.330404
(0.17486)
0.255290
(0.16949)
 L40.172611
(0.17717)
0.385293
(0.16870)
−0.093093
(0.16256)
0.106227
(0.17636)
−0.215438
(0.17468)
 L5−0.169169
(0.17404)
−0.245181
(0.15871)
−0.055984
(0.16353)
−0.232155
(0.17743)
0.121239
(0.17028)
Constant2.816570
(4.10656)
−0.516888
(4.00396)
−5.881906
(3.26599)
−1.067474
(5.48496)
7.343517
(5.01448)

Adjusted -sq−0.0139540.0475940.0201270.0306150.038009
-statistic0.8444861.5646921.2321121.3568781.446467
value0.58720.12770.27960.21100.1707

This table reports the results of the regressions of the exchange rate return at 5-minute frequency on five lags of order flow and five lags of exchange rate returns over the five days in the sample. Standard errors are reported in the parentheses below the coefficient estimates. The -statistics and value are from the -tests, which indicate lagged order flow coefficients are not jointly different from zero.