Financial Innovation

Table 7 Results of one-sample T tests by comparing the mean value to 0.50 in two stock sets

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

ζ	CSI 300			S&P 500
ζ	Mean value	Std error	T value	Mean value	Std error	T value
1	0.511	0.069	1.746*	0.628	0.054	26.095***
2	0.511	0.07	1.719*	0.635	0.051	29.176***
3	0.52	0.068	3.203***	0.628	0.054	25.784***
4	0.525	0.065	4.202***	0.639	0.054	28.277***
5	0.523	0.064	3.923***	0.634	0.055	26.448***
6	0.524	0.065	4.028***	0.623	0.053	25.627***

^* p < 0.10; ** p < 0.05; *** p < 0.01

Back to article page