Research Article
The Behavior and Impact of Heterogeneous Investors in China’s Stock Index Futures Market: An Agent-Based Model on Cross-Market Trades
Table 9
Granger causality tests for the two market returns.
| | H0 | Lag order | F-statistic | value | Judgment |
| | Index future | 1 | 369.307 | 0.000 | Reject H0 | | Future index | 1 | 16.303 | 0.000 | Reject H0 | | Index future | 2 | 237.352 | 0.000 | Reject H0 | | Future index | 2 | 4.937 | 0.007 | Reject H0 | | Index future | 3 | 164.444 | 0.000 | Reject H0 | | Future index | 3 | 7.937 | 0.000 | Reject H0 | | Index future | 4 | 128.414 | 0.000 | Reject H0 | | Future index | 4 | 6.443 | 0.000 | Reject H0 | | Index future | 5 | 104.899 | 0.000 | Reject H0 | | Future index | 5 | 2.447 | 0.0318 | Reject H0 |
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The symbols , , and indicate significance at 1%, 5%, and 10% levels, respectively. |
