How Energy Sector Reacted to COVID-19 Pandemic? Empirical Evidence from an Emerging Market Economy

Table 13

Results of granger causality test.

Null hypothesis	F-statistic	Prob.
D(D(CNW)) does not granger cause D(CNE)	0.71527	0.6381
D(CNE) does not granger cause D(D(CNW))	1.3473	0.2432
APX does not granger cause D(CNE)	1.048	0.3989
D(CNE) does not granger cause APX	0.55642	0.764
BET-NG does not granger cause D(CNE)	1.01343	0.4207
D(CNE) does not granger cause BET-NG	1.56439	0.1649
EEX-P does not granger cause D(CNE)	1.56161	0.1658
D(CNE) does not granger cause EEX-P	1.45446	0.2012
EEX-B does not granger cause D(CNE)	1.85628	0.0954
D(CNE) does not granger cause EEX-B	1.26117	0.2818
EL does not granger cause D(CNE)	1.02095	0.4159
D(CNE) does not granger cause EL	0.85816	0.5284
SNG does not granger cause D(CNE)	1.02123	0.4157
D(CNE) does not granger cause SNG	1.19495	0.3149
TEL does not granger cause D(CNE)	0.86893	0.5204
D(CNE) does not granger cause TEL	1.99231	0.0733
TGN does not granger cause D(CNE)	1.21391	0.3051
D(CNE) does not granger cause TGN	3.89549	0.0015
APX does not granger cause D(D(CNW))	0.35365	0.9063
D(D(CNW)) does not granger cause APX	0.12934	0.9924
BET-NG does not granger cause D(D(CNW))	1.94886	0.0799
D(D(CNW)) does not granger cause BET-NG	1.76113	0.1144
EEX-P does not granger cause D(D(CNW))	0.43535	0.8537
D(D(CNW)) does not granger cause EEX-P	0.66365	0.6791
EEX-B does not granger cause D(D(CNW))	0.3282	0.9208
D(D(CNW)) does not granger cause EEX-B	0.48702	0.8167
EL does not granger cause D(D(CNW))	0.58454	0.7419
D(D(CNW)) does not granger cause EL	0.4387	0.8514
SNG does not granger cause D(D(CNW))	1.8463	0.0973
D(D(CNW)) does not granger cause SNG	1.71958	0.1238
TEL does not granger cause D(D(CNW))	1.93276	0.0824
D(D(CNW)) does not granger cause TEL	0.96973	0.4496
TGN does not granger cause D(D(CNW))	0.76793	0.5968
D(D(CNW)) does not granger cause TGN	1.76057	0.1146

Source: author’s own work. Notes: sample: 7/01/2021–12/21/2021. For the definition of variables, please see Table 2.