Table 2.

The result of the VAR model in terms of $R_t,{MV}_t,{andDT}_t$. ${\mathrm{y}}_t={\left[R_t,{MV}_t,{DT}_t\right]}^{\prime }=A_0+{\mathrm{\Sigma }}_{i=1}^p{B}_i{y}_{t-i}+{\epsilon }_t$ (1).

	$R_t$	${MV}_t$	${DT}_t$
$R_{t-1}$	0.0355	0.4328	−2.4045***
	(1.1060)	(0.6507)	(-3.2897)
$R_{t-2}$	−0.0142	0.2578	−0.7840
	(-0.4358)	(0.3823)	(-1.0578)
${MV}_{t-1}$	0.0026	−0.3492***	0.1450***
	(1.1743)	(-0.6711)	(2.8982)
${MV}_{t-2}$	−0.0003	−0.0730	0.1441***
	(-0.1541)	(-1.6151)	(2.8996)
${DT}_{t-1}$	−0.0001	−0.0580	−0.5084***
	(-0.0383)	(-1.4240)	(-11.3478)
${DT}_{t-2}$	−0.0001	−0.1334***	−0.3296***
	(-0.0272)	(-3.3313)	(-7.4913)
Constant	0.0219	0.0537	0.6855
	(0.8698)	(0.1032)	(1.1983)
F statistic
$H_o:{\mathrm{\Sigma }}_{i=1}^2{b}_{Ri}=0$	0.6887	0.2950	6.1163***
	(0.5025)	(0.7446)	(0.0023)
$H_o:{\mathrm{\Sigma }}_{i=1}^2{b}_{MVi}=0$	0.8939	30.3342***	6.1172***
	(0.4094)	(0.0000)	(0.0023)
$H_o:{\mathrm{\Sigma }}_{i=1}^2{b}_{DTi}=0$	0.0008	5.5701***	70.6735***
	(0.9992)	(0.0039)	(0.0000)

Notes: $R_t$ is the stock market return at time t, ${MV}_t$ is the change rates of market trading volume at time t, and ${DT}_t$ is the change rates of day trading volume at time t. $b_{Ri}$, $b_{MVi}$, and $b_{DTi}$ are coefficients for stock return, market trading volume, and day trading volume. The t values are shown in parentheses in the upper part of Table 2. Granger causality F statistics and their p values shown in parentheses are presented in the lower part of Table 2. Statistical significance is set at 10%, 5%, and 1% levels denoted by *, **, and ***.