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 |
---|---|---|---|---|---|---|---|---|---|---|---|
Left tail | |||||||||||
\(US\to CN\) | 0.000* | 0.794 | 0.776 | 0.002* | 0.373 | 0.581 | 0.225 | 0.563 | 0.036 | 0.022 | 0.027 |
\(CN\to US\) | 0.121 | 0.736 | 0.063 | 0.972 | 0.002* | 0.032 | 0.359 | 0.001* | 0.000* | 0.684 | 0.172 |
\(US\to FR\) | 0.855 | 0.005* | 0.376 | 0.005* | 0.692 | 0.000* | 0.000* | 0.835 | 0.000* | 0.547 | 0.521 |
\(FR\to US\) | 0.084 | 0.000* | 0.014 | 0.365 | 0.785 | 0.628 | 0.006* | 0.000* | 0.047 | 0.969 | 0.653 |
\(US\to GE\) | 0.000* | 0.000* | 0.701 | 0.542 | 0.219 | 0.000* | 0.000* | 0.686 | 0.192 | 0.525 | 0.035 |
\(GE\to US\) | 0.000* | 0.058 | 0.000* | 0.329 | 0.751 | 0.059 | 0.744 | 0.175 | 0.000* | 0.000* | 0.362 |
\(US\to JP\) | 0.009* | 0.774 | 0.180 | 0.000* | 0.001* | 0.000* | 0.112 | 0.011 | 0.001* | 0.709 | 0.001* |
\(JP\to US\) | 0.575 | 0.287 | 0.149 | 0.816 | 0.145 | 0.676 | 0.065 | 0.001* | 0.000* | 0.200 | 0.690 |
\(US\to CH\) | 0.000* | 0.031 | 0.461 | 0.045 | 0.001* | 0.027 | 0.721 | 0.704 | 0.555 | 0.213 | 0.902 |
\(CH\to US\) | 0.256 | 0.441 | 0.541 | 0.167 | 0.524 | 0.021 | 0.996 | 0.169 | 0.660 | 0.393 | 0.811 |
\(US\to UK\) | 0.059 | 0.253 | 0.002* | 0.077 | 0.083 | 0.000* | 0.266 | 0.001* | 0.045 | 0.248 | 0.043 |
\(UK\to US\) | 0.079 | 0.019 | 0.000* | 0.001* | 0.057 | 0.182 | 0.045 | 0.343 | 0.000* | 0.777 | 0.045 |
Right tail | |||||||||||
\(US\to CN\) | 0.000* | 0.482 | 0.420 | 0.367 | 0.842 | 0.890 | 0.003* | 0.433 | 0.554 | 0.000* | 0.543 |
\(CN\to US\) | 0.018 | 0.435 | 0.191 | 0.244 | 0.470 | 0.001* | 0.230 | 0.660 | 0.251 | 0.282 | 0.011 |
\(US\to FR\) | 0.040 | 0.988 | 0.073 | 0.148 | 0.979 | 0.148 | 0.730 | 0.265 | 0.022 | 0.969 | 0.694 |
\(FR\to US\) | 0.440 | 0.134 | 0.797 | 0.781 | 0.850 | 0.239 | 0.307 | 0.434 | 0.790 | 0.547 | 0.693 |
\(US\to GE\) | 0.255 | 0.412 | 0.076 | 0.960 | 0.563 | 0.253 | 0.327 | 0.675 | 0.287 | 0.080 | 0.712 |
\(GE\to US\) | 0.045 | 0.464 | 0.332 | 0.477 | 0.466 | 0.168 | 0.077 | 0.211 | 0.001* | 0.001* | 0.731 |
\(US\to JP\) | 0.619 | 0.000* | 0.139 | 0.993 | 0.913 | 0.000* | 0.009* | 0.778 | 0.116 | 0.659 | 0.231 |
\(JP\to US\) | 0.042 | 0.958 | 0.672 | 0.147 | 0.741 | 0.016 | 0.000* | 0.833 | 0.594 | 0.312 | 0.302 |
\(US\to CH\) | 0.411 | 0.861 | 0.278 | 0.055 | 0.957 | 0.025 | 0.145 | 0.855 | 0.999 | 0.000* | 0.820 |
\(CH\to US\) | 0.717 | 0.159 | 0.944 | 0.049 | 0.376 | 0.135 | 0.874 | 0.303 | 0.110 | 0.147 | 0.087 |
\(US\to UK\) | 0.117 | 0.280 | 0.529 | 0.018 | 0.174 | 0.086 | 0.761 | 0.366 | 0.814 | 0.660 | 0.345 |
\(UK\to US\) | 0.335 | 0.777 | 0.845 | 0.395 | 0.795 | 0.618 | 0.217 | 0.750 | 0.159 | 0.996 | 0.346 |