Table 4.
Granger Causality
| Panel A – Pre-COVID | Panel B – COVID-19 | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Dependent Variable | Bonds | Sukuk | Green Sukuk | Conventional Stock | Islamic Stocks | Bonds | Sukuk | Green Sukuk | Conventional Stock | Islamic Stocks |
| Bonds | 4.1662 | 7.7015* | 2.1116 | 0.51263 | 11.268** | 37.038*** | 3.1416 | 5.2473 | ||
| (0.244) | (0.053) | (0.550) | (0.916) | (0.010) | (0.000) | (0.370) | (0.155) | |||
| Sukuk | 4.9806 | 20.639*** | 4.6605 | 3.8434 | 6.1361 | 280.31*** | 4.5941 | 5.8249 | ||
| (0.173) | (0.000) | (0.198) | (0.279) | (0.105) | (0.000) | (0.204) | (0.120) | |||
| Green Sukuk | 0.93114 | 3.2549 | 6.1314 | 4.8424 | 9.6376* | 38.768*** | 4.7567 | 6.1779 | ||
| (0.818) | (0.354) | (0.105) | (0.184) | (0.022) | (0.000) | (0.191) | (0.103) | |||
| Conventional Stock | 3.172 | 5.551 | 10.105** | 4.1254 | 0.83493 | 6.2745* | 37.63*** | 6.0587 | ||
| (0.366) | (0.136) | (0.018) | (0.866) | (0.841) | (0.099) | (0.000) | (0.170) | |||
| Islamic Stocks | 5.2739 | 5.7914 | 7.408* | 3.311 | 2.3226 | 7.9474** | 35.145*** | 4.9063 | ||
| (0.153) | (0.122) | (0.060) | (0.346) | (0.508) | (0.047) | (0.000) | (0.179) | |||
This table provides the Granger causality WALD test results for the five financial assets under discussion. The table presents the chi2 value and and p value in parenthesis for each granger causal relation. Panel A provides the VAR Granger causality WALD test for the pre-COVID-19 period (March 4, 2019 to March 1, 2020) and Panel B provides VAR Granger causality WALD test for the COVID-19 period (March 2, 2020 to December 4, 2020). First column presenting the dependent variable. *, **, *** denote significance at 10%, 5%, 1% respectively