Table 8: Granger’s causality estimation of (6) (10-minute frequency).

Day 1Day 2Day 3Day 4Day 5

Order flow
 L10.136435
(0.34967)
−0.089633
(0.26324)
0.526039
(0.30753)
−0.447771
(0.36917)
−0.446635
(0.30271)
 L2−0.308135
(0.35084)
−0.263654
(0.26533)
0.091605
(0.28730)
−0.401649
(0.37418)
−0.404804
(0.28665)
 L30.688376
(0.33985)
0.209682
(0.26306)
−0.326159
(0.29723)
0.702109
(0.37023)
0.184541
(0.28903)
 L4−0.039688
(0.33378)
−0.481917
(0.26637)
0.235170
(0.29056)
0.272496
(0.37699)
−0.180359
(0.30057)
 L50.035736
(0.32321)
0.214257
(0.25365)
−0.150053
(0.26986)
−0.086382
(0.37463)
0.153250
(0.28587)
Exchange rate return
 L1−0.191310
(0.32897)
0.231504
(0.28081)
−0.429302
(0.30579)
0.570028
(0.26693)
0.223603
(0.29134)
 L20.196840
(0.33985)
0.287834
(0.28982)
−0.283998
(0.30125)
0.312146
(0.27584)
0.268175
(0.26696)
 L3−0.642743
(0.32175)
−0.265260
(0.31380)
0.201120
(0.31266)
−0.582852
(0.26878)
−0.262002
(0.27343)
 L4−0.036487
(0.31441)
0.392224
(0.30960)
−0.266103
(0.29923)
0.047003
(0.27626)
0.169784
(0.28404)
 L5−0.132261
(0.30469)
−0.000436
(0.30732)
0.043512
(0.29192)
−0.256454
(0.27060)
−0.308772
(0.27394)
Constant10.20020
(10.1838)
−0.338317
(8.30204)
−11.89428
(8.39075)
−6.790016
(11.6759)
16.56448
(11.4245)

Adjusted -sq−0.040912−0.023319−0.0665810.1575720.028411
-statistic0.7916900.8792260.6691511.9913401.154979
value0.63680.55920.74620.05830.3465

This table reports the results of the regressions of the exchange rate return at the 10-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.