Dynamic Interactions between Intraday Returns and Trading Volume on the CSI 300 Index Futures: An Application of an SVAR Model

Table 3

The results of the Granger causality test.

Samples	Granger causality test						Instantaneous causality test
	Granger causality test for			Granger causality test for r
	F test	value	R or A	F test	value	Y or N	χ^2 test	value	Y or N
D02	3.25	0.002	Refused	2.90	0.005	Refused	0.21	0.645	Accepted
D03	3.69	0.001	Refused	5.51	1.02e − 05	Refused	35.00	3.30e − 09	Refused
D04	1.73	0.087	Refused	0.38	0.930	Accepted	0.242	0.623	Accepted
D05	3.06	0.001	Refused	2.41	0.010	Refused	10.95	0.001	Refused
D06	25.88	2.2e − 16	Refused	2.08	0.034	Refused	14.28	0.0002	Refused
D09	7.75	1.7e − 11	Refused	3.41	0.0003	Refused	19.04	1.28e − 05	Refused
D10	0.64	0.748	Accepted	3.45	0.001	Refused	4.96	0.026	Refused
D11	5.52	2.3e − 06	Refused	2.94	0.004	Refused	2.49	0.115	Accepted
D12	24.28	2.2e − 16	Refused	1.35	0.222	Accepted	20.70	5.38e − 06	Refused
D13	2.17	0.033	Refused	0.25	0.973	Accepted	4.08	0.043	Refused