Table 6.
Pairwise Granger causality test
| Null hypothesis: | Panel A | Panel B | Panel C |
|---|---|---|---|
| EPI ≠ EADI | 28.9365*** | 5.7291*** | 33.9183*** |
| EADI ≠ EPI | 235.6920*** | 82.3675*** | 317.0450*** |
| SIZE ≠ EADI | 0.7463 | 1.4927 | 1.3663 |
| EADI ≠ SIZE | 1.8644 | 0.6287 | 2.2255 |
| LEV ≠ EADI | 0.5452 | 0.3397 | 0.8058 |
| EADI ≠ LEV | 1.5703 | 0.7702 | 1.9704 |
| ROE ≠ EADI | 1.9611 | 1.4311 | 2.9890 |
| EADI ≠ ROE | 3.6729 | 1.6652 | 2.0216 |
| SIZE ≠ EPI | 1.1715 | 1.0291 | 2.0928 |
| EPI ≠ SIZE | 1.3415 | 1.1387 | 2.3094 |
| LEV ≠ EPI | 0.674 | 1.7523 | 1.3634 |
| EPI ≠ LEV | 1.4858 | 1.1792 | 1.4169 |
| ROE ≠ EPI | 5.9124*** | 0.6427 | 3.9385** |
| EPI ≠ ROE | 3.1148** | 1.3909 | 1.1808 |
| LEV ≠ SIZE | 0.3126 | 0.2535 | 0.3517 |
| SIZE ≠ LEV | 3.2252** | 16.8408*** | 14.5151*** |
| ROE ≠ SIZE | 0.3705 | 0.2814 | 0.3397 |
| SIZE ≠ ROE | 1.048 | 0.6667 | 0.4389 |
| ROE ≠ LEV | 0.2676 | 0.0059 | 0.2780 |
| LEV ≠ ROE | 0.5733 | 0.3122 | 0.1833 |
***,**,*denote 1%, 5% and 10% significant level, respectively
≠ denote does not granger cause