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Table 3 Coefficients of the VAR(1) and significance of Granger causality in the mean

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

\(US\to CN\)

0.116*

0.161*

0.067*

0.095*

0.065*

0.103*

0.063

0.052*

āˆ’ā€‰0.004

0.072*

0.105*

\(CN\to US\)

āˆ’ā€‰0.044

āˆ’ā€‰0.024

0.037

0.032

0.004

āˆ’ā€‰0.017

0.005

āˆ’ā€‰0.019

0.061*

āˆ’ā€‰0.057*

0.047

\(US\to FR\)

0.099*

0.061

0.036

0.134*

0.058

0.024

0.033

0.043*

0.032

0.000

0.111*

\(FR\to US\)

āˆ’ā€‰0.044

āˆ’ā€‰0.024

0.037

0.032

0.004

āˆ’ā€‰0.017

0.005

āˆ’ā€‰0.019

0.061*

āˆ’ā€‰0.057

0.047

\(US\to GE\)

0.110*

0.117*

0.069

0.070*

0.058

0.076*

0.067

0.017

0.018

0.026

0.067*

\(GE\to US\)

āˆ’ā€‰0.002

āˆ’ā€‰0.014

0.021

0.009

āˆ’ā€‰0.033

0.028

āˆ’ā€‰0.015

āˆ’ā€‰0.002

0.064*

0.008

āˆ’ā€‰0.001

\(US\to JP\)

0.119*

0.128*

0.097*

0.145*

0.104*

0.137*

0.162*

0.100*

0.167*

0.115*

0.108*

\(JP\to US\)

āˆ’ā€‰0.019

āˆ’ā€‰0.052

āˆ’ā€‰0.013

0.022

āˆ’ā€‰0.036

āˆ’ā€‰0.017

āˆ’ā€‰0.019

āˆ’ā€‰0.001

āˆ’ā€‰0.013

āˆ’ā€‰0.023

0.013

\(US\to CH\)

0.188*

0.034

0.033

0.122*

0.051

0.056

0.057

0.024

0.004

0.058*

0.017

\(CH\to US\)

āˆ’ā€‰0.017

āˆ’ā€‰0.009

āˆ’ā€‰0.003

0.024

āˆ’ā€‰0.053*

0.022

āˆ’ā€‰0.026

āˆ’ā€‰0.024

0.040

āˆ’ā€‰0.013

āˆ’ā€‰0.003

\(US\to UK\)

0.144*

0.115*

0.090*

0.154*

0.089*

0.076*

0.092*

0.107*

0.117*

0.059

0.045

\(UK\to US\)

0.005

0.003

0.060*

0.076*

āˆ’ā€‰0.032

0.046

0.013

0.017

0.013

āˆ’ā€‰0.030

0.011

  1. 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 weekly returns. Data cover different periods, all ending on 17/05/2021 (see Table 1).Ā 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, ā€œ*ā€, denotes significance at the 1% level
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