Industry return lead-lag relationships between the US and other major countries

Monteiro, Ana; Silva, Nuno; Sebastião, Helder

doi:10.1186/s40854-022-00439-1

Financial Innovation

Table 12 Granger causality in distribution of the volatility

From: Industry return lead-lag relationships between the US and other major countries

	BM	CD	CS	EN	FI	HC	IN	RE	TEC	TEL	UT
Left tail
\(US\to CN\)	0.220	0.243	0.922	0.000*	0.178	0.609	0.332	0.346	0.223	0.601	0.020
\(CN\to US\)	0.176	0.157	0.061	0.041	0.161	0.366	0.098	0.731	0.766	0.621	0.046
\(US\to FR\)	0.022	0.912	0.019	0.059	0.133	0.562	0.648	0.050	0.323	0.094	0.000*
\(FR\to US\)	0.794	0.702	0.034	0.066	0.633	0.875	0.404	0.044	0.773	0.351	0.001*
\(US\to GE\)	0.117	0.846	0.010	–	0.543	0.364	0.083	0.933	0.579	0.001*	0.000*
\(GE\to US\)	0.794	0.778	0.859	–	0.285	0.174	0.212	0.467	0.078	0.102	0.878
\(US\to JP\)	0.125	0.533	0.124	0.668	0.119	0.307	0.546	0.233	0.883	0.001*	0.782
\(JP\to US\)	0.289	0.537	0.007*	0.504	0.598	0.812	0.455	0.018	0.495	0.001*	0.469
\(US\to CH\)	0.579	0.044	0.773	0.000*	0.052	–	0.323	0.288	–	–	0.212
\(CH\to US\)	0.018	0.420	0.178	0.415	0.156	–	0.768	0.611	–	–	0.057
\(US\to UK\)	0.209	0.720	0.782	0.581	0.016	0.036	0.172	0.160	0.428	0.352	0.047
\(UK\to US\)	0.036	0.314	0.747	0.169	0.003*	0.024	0.085	0.117	0.490	0.018	0.108
Right tail
\(US\to CN\)	0.000^*	0.083	0.000^*	0.785	0.000^*	0.000^*	0.000^*	0.291	0.191	0.993	0.046
\(CN\to US\)	0.097	0.361	0.396	0.750	0.667	0.853	0.069	0.062	0.007^*	0.027	0.407
\(US\to FR\)	0.000^*	0.030	0.003^*	0.036	0.021	0.210	0.469	0.000^*	0.000^*	0.002^*	0.232
\(FR\to US\)	0.798	0.637	0.134	0.148	0.026	0.322	0.151	0.033	0.179	0.001^*	0.002^*
\(US\to GE\)	0.000^*	0.000^*	0.002^*	–	0.000^*	0.299	0.000^*	0.000^*	0.955	0.000^*	0.000^*
\(GE\to US\)	0.950	0.146	0.843	–	0.148	0.471	0.251	0.778	0.012	0.014	0.118
\(US\to JP\)	0.804	0.000^*	0.001^*	0.648	0.676	0.024	0.632	0.479	0.000*	0.612	0.687
\(JP\to US\)	0.250	0.006^*	0.451	0.941	0.882	0.058	0.784	0.000^*	0.532	0.121	0.223
\(US\to CH\)	0.055	0.001^*	0.000^*	0.331	0.000^*	–	0.046	0.000^*	–	–	0.187
\(CH\to US\)	0.317	0.039	0.445	0.120	0.000^*	–	0.598	0.001^*	–	–	0.367
\(US\to UK\)	0.859	0.010^*	0.009^*	0.659	0.006^*	0.028	0.000^*	0.834	0.027	0.532	0.626
\(UK\to US\)	0.951	0.298	0.569	0.903	0.786	0.535	0.471	0.805	0.089	0.720	0.317

This table presents the p-values of the Granger causality in distribution of volatility. Data cover different periods, all ending on 17/05/2021 (see Table 1). The tests in the left tail are conducted considering \(\alpha\) = 1%, 5% and 10%, while the tests in the right tail consider \(\alpha\) = 90%, 95% and 99%. The tests are conducted pairwise between the US and other 6 countries (Canada (CN), France (FR), Germany (GE), Japan (JP), China (CH), and the UK) for 11 industries (Basic Materials (BM), Consumer Discretionary (CD), Consumer Staples (CS), Energy (EN), Financials (FI), Health Care (HC), Industrials (IN), Real Estate (RE), Technology (TEC), Telecommunications (TEL), and Utilities (UT)). \(US\to k\) indicates Granger causality from the US to the returns of country \(k\), and \(k\to US\) indicates Granger causality from country \(k\) to the US, for each industry. Numbers in bold indicate the rejection of the null of no Granger causality at the 5% level. One asterisk, “*”, denotes significance at the 1% level. “-” indicates that it was not possible to obtain reliable estimates of the Conditional Autoregressive Value-at-Risk (CAViaR) due to small sample size

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