Table 2.

Toda–Yamamoto Granger causality test results

Hypothesis	Chi-square P-value	Decision
CCI ≠  > TA	0.9795 0.8062	CCI ≠  > TA
INF ≠  > TA	1.2837 0.7330	INF ≠  > TA
IP ≠  > TA	1.1194 0.7724	IP ≠  > TA
WPU ≠  > TA	4.6828 0.1966	WPU ≠  > TA
TA ≠  > CCI	1.8593 0.6021	TA ≠  > CCI
INF ≠  > CCI	5.5084 0.1381	INF ≠  > CCI
IP ≠  > CCI	7.4467*** 0.0589	IP → CCI
WPU ≠  > CCI	0.9647 0.8098	WPU ≠  > CCI
TA ≠  > INF	1.8593*** 0.0991	TA → INF
CCI ≠  > INF	3.6699 0.2994	CCI ≠  > INF
IP ≠  > INF	4.5288 0.2097	IP ≠  > INF
WPU ≠  > INF	0.6103 0.8941	WPU ≠  > INF
TA ≠  > IP	10.5768** 0.0142	TA → IP
CCI ≠  > IP	1.3511 0.7170	CCI ≠  > IP
INF ≠  > IP	5.9801 0.1126	INF ≠  > IP
WPU ≠  > IP	0.8967 0.8262	WPU ≠  > IP
TA ≠  > WPU	3.1799 0.3647	TA ≠  > WPU
CCI ≠  > WPU	3.8657 0.2763	CCI ≠  > WPU
INFI ≠  > WPU	0.9481 0.8138	INFI ≠  > WPU
IP ≠  > WPU	0.3918 0.9419	IP ≠  > WPU

The symbols “ ≠  > and → ” denote the non-Granger causality and unidirectional Granger causality relationship for the selected variables

**^,***Indicate the 0.05 and 0.10 significance level. The optimal lag is selected as 3 by using SIC