| | 5% | 1% |
|---|
Unadjusted | Adjusted | Unadjusted | Adjusted |
|---|
Table 3 | \(US\to k\) | 49 | 53 | 41 | 44 |
\(k\to US\) | 11 | 9 | 7 | 3 |
Table 5 | BM | 50 | 60 | 44 | 52 |
CD | 40 | 53 | 26 | 36 |
CS | 43 | 45 | 30 | 33 |
EN | 48 | 51 | 40 | 45 |
FI | 28 | 29 | 16 | 13 |
HC | 31 | 34 | 19 | 17 |
IN | 40 | 47 | 30 | 34 |
RE | 35 | 35 | 25 | 22 |
TEC | 32 | 32 | 20 | 17 |
TEL | 20 | 19 | 15 | 15 |
UT | 40 | 37 | 27 | 24 |
Table 6 | \(US\to k\) | 61 | 65 | 59 | 63 |
\(k\to US\) | 59 | 64 | 58 | 60 |
Table 8 (recession) | \(US\to k\) | 42 | 35 | 25 | 17 |
\(k\to US\) | 12 | 3 | 6 | 0 |
Table 8 (expansion) | \(US\to k\) | 26 | 24 | 18 | 14 |
\(k\to US\) | 10 | 5 | 5 | 2 |
Table 11 (left tail) | \(US\to k\) | 32 | 36 | 23 | 24 |
\(k\to US\) | 22 | 15 | 15 | 14 |
Table 11 (right tail) | \(US\to k\) | 11 | 6 | 7 | 5 |
\(k\to US\) | 10 | 4 | 4 | 0 |
Table 12 (left tail) | \(US\to k\) | 14 | 7 | 7 | 6 |
\(k\to US\) | 13 | 7 | 4 | 1 |
Table 12 (right tail) | \(US\to k\) | 37 | 38 | 29 | 29 |
\(k\to US\) | 13 | 7 | 7 | 2 |
- This table presents the number of rejections of the null hypothesis based in the adjusted (Benjamini and Hochberg 2000) and unadjusted p values. Table 3: Coefficients of VAR(1) and significance of Granger causality in the mean. Table 5: Cross-industry coefficients of VAR(1) and significance of Granger causality in the mean from the US to other countries. Table 6: Coefficients of VAR(1) and significance of Granger causality in volatility. Table 8: Coefficients of VAR(1) and significance of Granger causality in the mean during expansions and recessions. Table 11: Granger causality in distribution of returns. Table 12: Granger causality in distribution of the volatility. The industries in Table 5 are 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). \(US\to k\) refers to the prediction of country k returns using the US returns, and \(k\to US\) refers to the prediction of US returns using the country \(k\) returns. \(US\to k\) refers to the prediction of country k using data from the US returns, and \(k\to US\) refers to the prediction of US using data from country \(k\)
