Table 7. Pairwise Granger Causality Tests.
| Pair | Null Hypothesis: | F-Statistic | p-Value | Result |
|---|---|---|---|---|
| WIP and NSE | LNWPI does not Granger Cause LNNSE | 0.59491 | 0.6192 | Unidirectional causality |
| LNNSE does not Granger Cause LNWPI | 2.72148 | 0.0463** | ||
| SP and NSE | LNSP does not Granger Cause LNNSE | 2.05970 | 0.1078 | Unidirectional causality |
| LNNSE does not Granger Cause LNSP | 3.03723 | 0.0308** | ||
| REPO and NSE | LNREPO does not Granger Cause LNNSE | 1.74601 | 0.1598 | No causality |
| LNNSE does not Granger Cause LNREPO | 0.76984 | 0.5125 | ||
| M3 and NSE | LNM3 does not Granger Cause LNNSE | 1.68342 | 0.1728 | No causality |
| LNNSE does not Granger Cause LNM3 | 0.50557 | 0.6790 | ||
| INT and NSE | LNINT does not Granger Cause LNNSE | 1.15080 | 0.3305 | No causality |
| LNNSE does not Granger Cause LNINT | 1.45463 | 0.2291 | ||
| IMP and NSE | LNIMP does not Granger Cause LNNSE | 2.61472 | 0.0531*** | Bidirectional causality |
| LNNSE does not Granger Cause LNIMP | 14.41820 | 0.0000* | ||
| IIP and NSE | LNIIP does not Granger Cause LNNSE | 0.59025 | 0.6223 | No causality |
| LNNSE does not Granger Cause LNIIP | 0.57354 | 0.6332 | ||
| GP and NSE | LNGP does not Granger Cause LNNSE | 0.93629 | 0.4247 | No causality |
| LNNSE does not Granger Cause LNGP | 0.75005 | 0.5239 | ||
| GFD and NSE | LNGFD does not Granger Cause LNNSE | 0.01070 | 0.9985 | No causality |
| LNNSE does not Granger Cause LNGFD | 0.27888 | 0.8406 | ||
| GDP and NSE | LNGDP does not Granger Cause LNNSE | 1.76157 | 0.1567 | Unidirectional causality |
| LNNSE does not Granger Cause LNGDP | 8.30001 | 0.0000* | ||
| FII and NSE | LNFII does not Granger Cause LNNSE | 2.50823 | 0.0609*** | Bidirectional causality |
| LNNSE does not Granger Cause LNFII | 2.99270 | 0.0327** | ||
| FER and NSE | LNFER does not Granger Cause LNNSE | 4.47503 | 0.0048* | Bidirectional causality |
| LNNSE does not Granger Cause LNFER | 2.29608 | 0.0798*** | ||
| EXP and NSE | LNEXP does not Granger Cause LNNSE | 0.75034 | 0.5237 | Unidirectional causality |
| LNNSE does not Granger Cause LNEXP | 10.99250 | 0.0000* | ||
| ER and NSE | LNER does not Granger Cause LNNSE | 2.13205 | 0.0983*** | Unidirectional causality |
| LNNSE does not Granger Cause LNER | 1.99846 | 0.1164 | ||
| CPI and NSE | LNCPI does not Granger Cause LNNSE | 0.87646 | 0.4547 | No causality |
| LNNSE does not Granger Cause LNCPI | 0.56382 | 0.6397 | ||
| COP and NSE | LNCOP does not Granger Cause LNNSE | 2.18345 | 0.0921*** | Bidirectional causality |
| LNNSE does not Granger Cause LNCOP | 7.28678 | 0.0001* | ||
| CMR and NSE | LNCMR does not Granger Cause LNNSE | 1.14049 | 0.3346 | No causality |
| LNNSE does not Granger Cause LNCMR | 0.74170 | 0.5287 | ||
| BOP and NSE | LNBOP does not Granger Cause LNNSE | 0.09832 | 0.9609 | No causality |
| LNNSE does not Granger Cause LNBOP | 1.23910 | 0.2974 |
Note: *, ** and *** Indicate significance at the 1%, 5% and 10% level, respectively.