spb/wp7_uqo

1\begin{table}[H]2\centering3\caption{Granger causality tests (5 lags).}4\label{tab:granger}5\begin{threeparttable}6\small7\begin{tabular}{@{}lrrrr@{}}8\toprule9Null hypothesis rejected: $X \to Y$ & Mean $F$ & Mean $p$ & \% tickers sig.\ (5\%) & Tickers \\10\midrule11ATM IV $\to$ RV & 62.38 & 0.000 & 100.0 & 69 \\12RV $\to$ ATM IV & 17.93 & 0.150 & 60.9 & 69 \\13Skew$_{25\delta}$ $\to$ RV & 20.79 & 0.018 & 94.2 & 69 \\14RV $\to$ Skew$_{25\delta}$ & 6.59 & 0.063 & 75.4 & 69 \\15ATM IV $\to$ Return & 1.80 & 0.269 & 24.6 & 69 \\16Return $\to$ ATM IV & 3.98 & 0.174 & 58.0 & 69 \\17Skew$_{25\delta}$ $\to$ Return & 1.41 & 0.382 & 13.0 & 69 \\18Return $\to$ Skew$_{25\delta}$ & 13.58 & 0.013 & 95.7 & 69 \\19PC volume ratio $\to$ Return & 1.01 & 0.500 & 5.8 & 69 \\20Return $\to$ PC volume ratio & 2.82 & 0.164 & 46.4 & 69 \\21Implied skewness $\to$ RV & 1.34 & 0.386 & 17.4 & 69 \\22Implied kurtosis $\to$ RV & 5.62 & 0.086 & 75.4 & 69 \\23\bottomrule24\end{tabular}25\begin{tablenotes}[flushleft]\footnotesize26\item \textit{Notes.} Per-ticker bivariate Granger causality $F$-tests with 5 lags \citep{granger1969investigating} on winsorized daily series; the table reports the cross-ticker mean of the $F$-statistic and of the $p$-value, and the share of tickers rejecting the null of no Granger causality at the 5\% level.27\end{tablenotes}28\end{threeparttable}29\end{table}30