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Table 6 Test of Granger causality

From: Building stock market resilience through digital transformation: using Google trends to analyze the impact of COVID-19 pandemic

Null hypothesis

Degree of freedom

Chi-square value

Probability

Group 1

 G does not Granger-cause P

6

22.0

0.0012a

 P does not Granger-cause G

6

22.1

0.0012a

Group 2

 G does not Granger-cause P

6

20.9

0.0019a

 P does not Granger-cause G

6

16.3

0.0120b

Group 3

 G does not Granger-cause P

6

19.7

0.0031a

 P does not Granger-cause G

6

6.8

0.34

  1. asignificant at 1% level; bsignificant at 5% level