Table 1.
Results of wavelet-based Granger causality.
| Frequency domains | Dependent variables | Independent variables |
||||
|---|---|---|---|---|---|---|
| US-stock | COVID-19 | EPU | OIL | GPR | ||
| D1 | US-stock | – | 0.753 | 17.382*** | 27.492*** | 26.483*** |
| COVID-19 | 6.583* | – | 19.583*** | 1.584 | 2.525 | |
| EPU | 54.934*** | 1.493 | – | 22.491*** | 13.883*** | |
| OIL | 29.554*** | 2.832 | 12.484** | – | 3.021 | |
| GPR | 16482*** | 0.583 | 17.095*** | 19.593*** | – | |
| D2 | US-stock | – | 0.482 | 18.694*** | 25.483*** | 25.955*** |
| COVID-19 | 14.694** | – | 35.437*** | 0.593 | 0.835 | |
| EPU | 5.246* | 0.117 | – | 18.658*** | 15.229*** | |
| OIL | 38.593*** | 1.442 | 19.464*** | – | 2.925 | |
| GPR | 9.531** | 2.583 | 26.652*** | 32.049*** | – | |
| D3 | US-stock | – | 0.382 | 1.049 | 24.599*** | 3.524 |
| COVID-19 | 0.005 | – | 1.854 | 0.559 | 0.746 | |
| EPU | 2.001 | 1.521 | – | 18.482*** | 12.486*** | |
| OIL | 19.943*** | 0.547 | 2.005*** | – | 2.571 | |
| GPR | 8.686** | 1.689 | 14.635*** | 27.531*** | – | |
| D4 | US-stock | – | 0.284 | 1.448 | 16.485*** | 2.069 |
| COVID-19 | 0.048 | – | 1.553 | 0.491 | 0.562 | |
| EPU | 0.795 | 1.592 | – | 16.385*** | 17.694*** | |
| OIL | 22.486*** | 2.211 | 1.115 | – | 0.667 | |
| GPR | 10.052** | 2.684 | 3.091 | 20.158*** | – | |
| D5 | US-stock | – | 2.195 | 4.593* | 18.707*** | 8.246** |
| COVID-19 | 2.372 | – | 0.559 | 1.533 | 0.359 | |
| EPU | 5.492* | 0.481 | – | 25.203*** | 3.037 | |
| OIL | 57.492*** | 1.887 | 0.485 | – | 0.583 | |
| GPR | 19.692*** | 7.593** | 2.948 | 16.327*** | – | |
| D6 | US-stock | – | 2.003 | 1.471 | 94.473*** | 10.537** |
| COVID-19 | 0.002 | – | 1.574 | 0.348 | 0.236 | |
| EPU | 3.028 | 1.029 | – | 18.472*** | 2.437 | |
| OIL | 83.472*** | 0.551 | 0.083 | – | 0.436 | |
| GPR | 20.537*** | 11.695** | 0.368 | 14.215*** | – | |
| Original | US-stock | – | 2.258 | 0.0837 | 17.676*** | 23.643*** |
| COVID-19 | 26.328*** | – | 19.493*** | 1.049 | 1.059 | |
| EPU | 0.234 | 2.018 | – | 19.482*** | 7.592** | |
| OIL | 10.483** | 1.382 | 0.449 | – | 2.221 | |
| GPR | 8.448** | 1.058 | 7.483** | 21.936*** | – | |
Notes: Asymptotic Chi-square values are reported. ***, ** & * significant value at 1% significant value, 5%, significant value and 10% significant value. SPI refers to Dow-Jones stock market index while EPU designates the US economic policy uncertainty index and GPR denotes geopolitical risk.