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 18 Coefficients of the VAR(1) and significance of Granger causality in the mean for daily and monthly data

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

	BM	CD	CS	EN	FI	HC	IN	RE	TEC	TEL	UT
Panel A: daily data
\(US \to CN\)	0.157*	0.207*	0.164*	0.178*	0.128*	0.157*	0.138*	0.067*	0.087*	0.086*	0.153*
\(CN \to US\)	− 0.012	− 0.053*	− 0.067*	− 0.058*	− 0.094*	− 0.032*	− 0.023	− 0.087*	0.005	− 0.058*	− 0.049*
\(US \to FR\)	0.239ª	0.304*	0.267*	0.290*	0.266*	0.279*	0.263*	0.100*	0.299*	0.116*	0.136*
\(FR \to US\)	− 0.026*	− 0.020*	− 0.018*	0.001	− 0.027*	− 0.016	− 0.024*	− 0.038*	− 0.001	− 0.003	− 0.023*
\(US \to GE\)	0.221*	0.143*	0.184*	0.058*	0.219*	0.196*	0.250*	0.070*	0.179*	0.183*	0.139*
\(GE \to US\)	− 0.026*	0.012	− 0.026*	− 0.008	− 0.039*	− 0.043*	− 0.027*	− 0.015	0.000	− 0.012	− 0.021*
\(US \to JP\)	0.322*	0.371*	0.370*	0.328*	0.330*	0.290*	0.404*	0.199*	0.338*	0.257*	0.193*
\(JP \to US\)	− 0.009	− 0.023*	− 0.013	0.003	− 0.008	− 0.014	− 0.018	− 0.006	− 0.007	− 0.001	− 0.015
\(US \to CH\)	0.340*	0.226*	0.206*	0.224*	0.206*	0.095*	0.214*	0.093*	0.002	0.142*	0.224*
\(CH \to US\)	− 0.004	− 0.005	− 0.004	− 0.004	− 0.012	− 0.006	− 0.003	0.002	− 0.051*	− 0.017	− 0.016*
\(US \to UK\)	0.343*	0.271*	0.248*	0.309*	0.281*	0.289*	0.245*	0.151*	0.247*	0.200*	0.142*
\(UK \to US\)	− 0.021*	− 0.024*	− 0.026*	0.001	− 0.018	− 0.022*	− 0.016	− 0.037*	− 0.010	− 0.014	− 0.038*
Panel B: monthly data
\(US \to CN\)	− 0.194	0.088	− 0.067	− 0.156	− 0.084	− 0.055	0.082	0.074	0.258	0.281	0.147
\(CN \to US\)	0.189	0.045	0.051	0.122	− 0.006	0.029	0.023	0.011	− 0.010	− 0.002	− 0.309*
\(US \to FR\)	− 0.157	− 0.129	− 0.070	− 0.105	0.071	0.016	− 0.161	− 0.038	0.034	0.051	− 0.027
\(FR \to US\)	0.059	0.001	0.018	0.062	− 0.031	− 0.020	0.109	0.079	− 0.017	0.005	− 0.010
\(US \to GE\)	0.112	− 0.059	0.040	− 0.355*	0.089	− 0.007	− 0.014	− 0.071	0.039	0.464*	0.073
\(GE \to US\)	− 0.167	− 0.037	0.008	0.003	− 0.031	0.068	0.094	0.011	0.018	− 0.045	− 0.089
\(US \to JP\)	0.098	0.024	0.064	0.072	0.118	− 0.025	0.049	0.011	0.208	0.319	0.197
\(JP \to US\)	− 0.037	− 0.181	− 0.112	− 0.029	− 0.011	− 0.068	− 0.062	− 0.002	− 0.045	0.061	− 0.010
\(US \to CH\)	− 0.130	− 0.254	− 0.458	0.194	0.024	− 0.335	− 0.099	− 0.018	0.045	0.134	− 0.020
\(CH \to US\)	0.110	− 0.006	− 0.050	0.041	− 0.024	− 0.039	− 0.055	0.031	− 0.202	− 0.127	− 0.096
\(US \to UK\)	− 0.181	− 0.148	− 0.114	0.146	0.130	− 0.045	− 0.052	− 0.265	0.222	0.360	− 0.036
\(UK \to US\)	− 0.009	0.036	0.066	0.051	0.010	0.072	0.048	0.139	0.039	0.168	− 0.104

This table presents the coefficients of a bivariate VAR(1) and the significance of the Granger causality tests resulting from a bivariate VAR(1) using daily and monthly returns. Data cover different periods, all ending on 17/05/2021 (see Table 1). 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 returns of 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 hypothesis of no Granger causality at the 5% level. One asterisk, “*”, denotes significance at the 1% level

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