Table 4 The results of the binomial distribution test under different manufactured thresholds, Δ
From: Detecting the lead–lag effect in stock markets: definition, patterns, and investment strategies
Δ | CSI 300 | S&P 500 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
\(\hat{\beta }\) of K–S | p value | \(\hat{\beta }\) of Kuiper | p value | \(\hat{\beta }\) of A–D | p value | \(\hat{\beta }\) of K–S | p value | \(\hat{\beta }\) of Kuiper | p value | \(\hat{\beta }\) of A–D | p value | |
0.10 | 0.409 | 0.000 | 0.420 | 0.003 | 0.392 | 0.000 | 0.343 | 0.000 | 0.347 | 0.000 | 0.352 | 0.000 |
0.15 | 0.536 | 0.000 | 0.553 | 0.180 | 0.510 | 0.000 | 0.710 | 0.001 | 0.695 | 0.178 | 0.714 | 0.000 |
0.20 | 0.660 | 0.000 | 0.641 | 0.049 | 0.660 | 0.000 | 0.759 | 0.000 | 0.782 | 0.046 | 0.752 | 0.000 |
0.25 | 0.723 | 0.000 | 0.739 | 0.047 | 0.765 | 0.000 | 0.777 | 0.000 | 0.773 | 0.013 | 0.782 | 0.000 |
0.30 | 0.819 | 0.000 | 0.835 | 0.006 | 0.803 | 0.000 | 0.792 | 0.000 | 0.793 | 0.007 | 0.766 | 0.000 |