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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