Table 5 Granger causality and non-causality tests

HE to IMR

IMR to HE

HE to IMR

IMR to HE

HE to IMR

IMR to HE

Z-value

Z-value

Z-value

Z-value

Z-value

Z-value

GL

2.91

14.37*

9.29*

10.31*

6.69

7.32

LY

7.77*

0.43

3.19*

5.97*

4.57*

12.31*

LM

4.25

14.10*

3.02*

3.06*

5.79*

1.94

HM

2.88

1.92

1.54

1.65*

1.74

6.01

HY

22.57*

30.64*

4.02*

1.22

12.21*

5.79

HE to MMR

MMR to HE

HE to MMR

MMR to HE

HE to MMR

MMR to HE

Z-value

Z-value

Z-value

Z-value

Z-value

Z-value

GL

5.76

10.67*

3.65*

4.01*

4.12

3.35

LY

0.20

1.07

−1.64

1.20

9.43*

1.95

LM

2.34

0.46

0.11

−0.84

5.29

5.89

HM

0.91

0.54

−0.24

− 0.12

5.39

0.01

HY

2.85*

0.56

−0.97

1.78*

1.87

6.37

HE to U5MR

U5MR to HE

HE to U5MR

U5MR to HE

HE to U5MR

U5MR to HE

Z-value

Z-value

Z-value

Z-value

Z-value

Z-value

GL

7.97*

22.07*

9.26*

12.06*

5.52

5.02

LY

12.61*

0.55

4.51*

5.115*

10.19*

13.75*

LM

8.19*

1.49

4.36*

6.62*

1.67

1.65

HM

0.82

0.23

1.02

1.103

2.88

5.98

HY

35.58*

26.51*

3.82*

2.001*

3.27

3.44

HE to LFE

LFE to HE

HE to LFE

LFE to HE

HE to LFE

LFE to HE

Z-value

Z-value

Z-value

Z-value

Z-value

Z-value

GL

11.85*

14.33*

16.30*

22.60*

52.21*

24.92*

LY

0.59

0.21

2.73*

31.17*

2.85

4.02

LM

2.30

0.28

2.18*

10.13*

5.2

14.04*

HM

1.32

0.56

1.78

37.38*

10.46

13.42*

HY

0.00

1.28

13.25*

19.62*

33.34*

5.21