Skip to main content

Table 6 Robustness results in S&P 500

From: Detecting the lead–lag effect in stock markets: definition, patterns, and investment strategies

DD

(p)

0.15

0.20

0.25

0.30

0.35

0.10

0.230

(0.999)

0.284

(0.974)

0.327

(0.774)

0.364

(0.390)

0.403

(0.348)

0.15

 

0.206

(0.999)

0.259

(0.969)

0.291

(0.606)

0.322

(0.556)

0.20

  

0.189

(0.999)

0.246

(0.957)

0.272

(0.929)

0.25

   

0.176

(0.999)

0.237

(0.998)

0.30

    

0.166

(0.999)