From: Industry return lead-lag relationships between the US and other major countries
Ā | BM | CD | CS | EN | FI | HC | IN | RE | TEC | TEL | UT |
---|---|---|---|---|---|---|---|---|---|---|---|
\({F}_{US\to k}\) | |||||||||||
CN | 0.015 | 0.039* | 0.009 | 0.014 | 0.010 | 0.021* | 0.015 | 0.007 | 0.000 | 0.012 | 0.012 |
1.8% | 7.7% | 3.8% | 1.4% | 1.3% | 10.9% | 1.9% | 2.3% | 0.0% | 5.9% | 2.7% | |
FR | 0.030* | 0.008 | 0.001 | 0.016 | 0.030* | 0.000 | 0.008 | 0.026* | 0.004 | 0.000 | 0.024 |
6.6% | 2.0% | 0.3% | 2.7% | 5.0% | 0.2% | 1.6% | 11.9% | 1.1% | 0.0% | 9.8% | |
GE | 0.028* | 0.040* | 0.002 | 0.030* | 0.022* | 0.020* | 0.007 | 0.004 | 0.000 | 0.017 | 0.016 |
4.6% | 17.1% | 2.9% | 10.3% | 4.0% | 12.1% | 1.4% | 2.5% | 0.0% | 11.3% | 7.1% | |
JP | 0.050* | 0.038* | 0.013 | 0.028* | 0.043* | 0.035* | 0.038* | 0.033* | 0.039* | 0.019* | 0.010 |
22.4% | 15.6% | 10.6% | 13.1% | 16.0% | 25.6% | 16.8% | 22.3% | 20.7% | 37.6% | 31.2% | |
CH | 0.039* | 0.003 | 0.002 | 0.022* | 0.005 | 0.006 | 0.007 | 0.007 | 0.000 | 0.011 | 0.000 |
17.3% | 4.8% | 10.9% | 15.8% | 2.1% | 12.4% | 6.6% | 11.6% | 0.2% | 10.7% | 0.0% | |
UK | 0.023* | 0.019* | 0.011 | 0.016 | 0.014 | 0.011 | 0.016 | 0.040* | 0.010 | 0.017 | 0.006 |
3.3% | 4.3% | 3.8% | 2.1% | 2.3% | 3.9% | 2.8% | 16.3% | 2.6% | 6.4% | 2.9% | |
\({F}_{k\to US}\) | |||||||||||
CN | 0.009 | 0.001 | 0.036* | 0.001 | 0.002 | 0.002 | 0.000 | 0.002 | 0.017 | 0.004 | 0.005 |
1.1% | 0.2% | 15.2% | 0.1% | 0.2% | 1.2% | 0.1% | 0.7% | 4.1% | 1.9% | 1.2% | |
FR | 0.000 | 0.015 | 0.026* | 0.000 | 0.003 | 0.012 | 0.001 | 0.000 | 0.003 | 0.002 | 0.005 |
0.1% | 4.1% | 12.2% | 0.0% | 0.5% | 5.6% | 0.1% | 0.0% | 0.7% | 1.0% | 2.1% | |
GE | 0.002 | 0.000 | 0.009 | 0.001 | 0.000 | 0.003 | 0.000 | 0.000 | 0.001 | 0.000 | 0.001 |
0.3% | 0.0% | 11.7% | 0.3% | 0.0% | 2.1% | 0.0% | 0.1% | 0.2% | 0.1% | 0.4% | |
JP | 0.001 | 0.000 | 0.002 | 0.003 | 0.015 | 0.001 | 0.000 | 0.000 | 0.001 | 0.003 | 0.000 |
0.6% | 0.1% | 1.9% | 1.2% | 5.6% | 0.5% | 0.1% | 0.3% | 0.6% | 6.1% | 0.5% | |
CH | 0.013 | 0.001 | 0.003 | 0.000 | 0.021* | 0.000 | 0.012 | 0.022* | 0.000 | 0.007 | 0.007 |
5.7% | 1.3% | 15.8% | 0.1% | 9.6% | 0.9% | 11.1% | 35.7% | 0.4% | 6.7% | 11.9% | |
UK | 0.001 | 0.000 | 0.031* | 0.002 | 0.003 | 0.020* | 0.000 | 0.000 | 0.001 | 0.007 | 0.001 |
0.1% | 0.0% | 10.9% | 0.3% | 0.5% | 6.9% | 0.0% | 0.2% | 0.2% | 2.8% | 0.2% | |
\({F}_{US\leftrightarrow k}\) | |||||||||||
CN | 0.800* | 0.474* | 0.190* | 0.974* | 0.774* | 0.170* | 0.772* | 0.316* | 0.385* | 0.190* | 0.423* |
97.2% | 92.2% | 81.0% | 98.5% | 98.5% | 87.9% | 98.0% | 97.0% | 95.9% | 92.2% | 96.2% | |
FR | 0.432* | 0.353* | 0.188* | 0.554* | 0.565* | 0.210* | 0.500* | 0.194* | 0.403* | 0.154* | 0.214* |
93.4% | 93.9% | 87.6% | 97.3% | 94.4% | 94.2% | 98.3% | 88.1% | 98.3% | 99.0% | 88.0% | |
GE | 0.567* | 0.194* | 0.064* | 0.256* | 0.523* | 0.143* | 0.524* | 0.171* | 0.479* | 0.131* | 0.201* |
95.1% | 82.9% | 85.4% | 89.4% | 96.0% | 85.8% | 98.6% | 97.3% | 99.8% | 88.6% | 92.4% | |
JP | 0.174* | 0.207* | 0.109* | 0.179* | 0.213* | 0.102* | 0.188* | 0.115* | 0.147* | 0.029* | 0.023* |
77.0% | 84.3% | 87.5% | 85.6% | 78.4% | 73.9% | 83.2% | 77.4% | 78.7% | 56.3% | 68.3% | |
CH | 0.174* | 0.062* | 0.013* | 0.119* | 0.189* | 0.043* | 0.088* | 0.032* | 0.063* | 0.083* | 0.054* |
77.0% | 93.9% | 73.3% | 84.1% | 88.3% | 86.8% | 82.3% | 52.7% | 99.4% | 82.6% | 88.1% | |
UK | 0.670* | 0.413* | 0.242* | 0.735* | 0.594* | 0.259* | 0.562* | 0.208* | 0.363* | 0.241* | 0.212* |
Ā | 96.5% | 95.7% | 85.3% | 97.6% | 97.2% | 89.2% | 97.2% | 83.6% | 97.2% | 90.8% | 96.8% |
\({F}_{US,k}\) | |||||||||||
CN | 0.824* | 0.515* | 0.235* | 0.989* | 0.786* | 0.194* | 0.788* | 0.326* | 0.402* | 0.207* | 0.440* |
FR | 0.463* | 0.376* | 0.215* | 0.569* | 0.599* | 0.223* | 0.509* | 0.220* | 0.410* | 0.156* | 0.244* |
GE | 0.596* | 0.234* | 0.075* | 0.287* | 0.544* | 0.167* | 0.531* | 0.176* | 0.480* | 0.147* | 0.217* |
JP | 0.225* | 0.245* | 0.124* | 0.210* | 0.271* | 0.138* | 0.227* | 0.149* | 0.187* | 0.051* | 0.033* |
CH | 0.226* | 0.066* | 0.018* | 0.142* | 0.214* | 0.050* | 0.107* | 0.060* | 0.063* | 0.100* | 0.061* |
UK | 0.694* | 0.431* | 0.283* | 0.753* | 0.611* | 0.290* | 0.578* | 0.249* | 0.374* | 0.265* | 0.218* |