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 4 Geweke feedback measures in the mean

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

	BM	CD	CS	EN	FI	HC	IN	RE	TEC	TEL	UT
\({F}_{US\to k}\)
CN	0.007^*	0.016^*	0.004^*	0.003	0.003	0.005^*	0.004^*	0.005^*	0.000	0.004^*	0.008^*
CN	1.0%	3.8%	1.9%	0.5%	0.5%	2.7%	0.6%	2.4%	0.0%	3.2%	3.8%
FR	0.007^*	0.003	0.002	0.009^*	0.002	0.002	0.001	0.003	0.001	0.000	0.006^*
FR	2.0%	1.2%	1.5%	2.4%	0.6%	0.9%	0.3%	3.3%	0.2%	0.0%	4.2%
GE	0.009^*	0.009^*	0.004^*	0.005^*	0.002	0.009^*	0.003	0.001	0.000	0.001	0.003
GE	2.5%	5.1%	6.6%	3.9%	0.7%	5.2%	1.0%	0.9%	0.1%	0.6%	3.3%
JP	0.012^*	0.015^*	0.005^*	0.012^*	0.007^*	0.014^*	0.020^*	0.008^*	0.020^*	0.005^*	0.006^*
JP	9.7%	10.1%	7.7%	10.4%	7.0%	19.2%	12.1%	15.9%	12.4%	13.9%	26.0%
CH	0.016^*	0.000	0.000	0.009^*	0.002	0.002	0.001	0.000	0.000	0.003	0.000
CH	12.9%	1.2%	4.2%	10.1%	3.0%	7.4%	3.2%	4.1%	0.8%	8.5%	1.3%
UK	0.009^*	0.008^*	0.005^*	0.011^*	0.005^*	0.004^*	0.007^*	0.009^*	0.008^*	0.002	0.003
UK	1.9%	3.3%	2.5%	1.9%	1.2%	1.5%	2.2%	8.4%	3.9%	1.4%	2.6%
\({F}_{k\to US}\)
CN	0.001	0.001	0.001	0.001	0.000	0.001	0.001	0.000	0.005^*	0.003	0.002
CN	0.2%	0.2%	0.6%	0.2%	0.0%	0.7%	0.2%	0.1%	1.2%	2.0%	1.1%
FR	0.000	0.001	0.002	0.000	0.001	0.001	0.000	0.000	0.004^*	0.001	0.001
FR	0.1%	0.5%	1.1%	0.1%	0.4%	0.4%	0.1%	0.1%	1.6%	0.6%	0.7%
GE	0.000	0.001	0.002	0.000	0.001	0.001	0.000	0.001	0.004^*	0.000	0.000
GE	0.0%	0.3%	2.8%	0.4%	0.4%	0.4%	0.1%	0.8%	2.0%	0.2%	0.2%
JP	0.000	0.003	0.000	0.001	0.002	0.000	0.001	0.001	0.000	0.002	0.000
JP	0.2%	1.9%	0.6%	1.0%	1.8%	0.6%	0.4%	1.9%	0.2%	4.5%	2.0%
CH	0.001	0.000	0.001	0.001	0.005^*	0.001	0.001	0.001	0.001	0.001	0.000
CH	0.7%	1.5%	6.2%	1.5%	8.6%	5.9%	3.2%	11.1%	5.2%	3.6%	0.6%
UK	0.000	0.001	0.006^*	0.005^*	0.002	0.003	0.000	0.000	0.000	0.002	0.000
UK	0.0%	0.4%	3.2%	0.9%	0.4%	1.3%	0.2%	0.4%	0.3%	1.1%	0.4%
\({F}_{US\leftrightarrow k}\)
CN	0.729^*	0.407^*	0.195^*	0.729^*	0.591^*	0.170^*	0.584^*	0.219^*	0.397^*	0.134^*	0.207^*
CN	98.8%	95.9%	97.5%	99.3%	99.5%	96.6%	99.2%	97.5%	98.8%	94.8%	95.1%
FR	0.325^*	0.259^*	0.141^*	0.367^*	0.354^*	0.194^*	0.304^*	0.095^*	0.251^*	0.110^*	0.142^*
FR	97.9%	98.3%	97.4%	97.5%	99.0%	98.7%	99.5%	96.5%	98.2%	99.4%	95.1%
GE	0.366^*	0.166^*	0.055^*	0.122^*	0.327^*	0.167^*	0.339^*	0.068^*	0.219^*	0.115^*	0.083^*
GE	97.5%	94.6%	90.7%	95.7%	98.9%	94.4%	99.0%	98.3%	97.9%	99.2%	96.5%
JP	0.110^*	0.130^*	0.064^*	0.099^*	0.093^*	0.059^*	0.142^*	0.041^*	0.140^*	0.029^*	0.017^*
JP	90.1%	88.1%	91.7%	88.6%	91.2%	80.2%	87.5%	82.2%	87.4%	81.6%	72.0%
CH	0.105^*	0.033^*	0.008^*	0.078^*	0.052^*	0.020^*	0.041^*	0.009^*	0.020^*	0.030^*	0.025^*
CH	86.3%	97.4%	89.6%	88.4%	88.4%	86.8%	93.6%	84.7%	94.0%	87.9%	98.1%
UK	0.451^*	0.238^*	0.189^*	0.569^*	0.408^*	0.242^*	0.292^*	0.099^*	0.184^*	0.162^*	0.097^*
UK	98.0%	96.4%	94.3%	97.2%	98.4%	97.2%	97.7%	91.3%	95.8%	97.6%	97.0%
\({F}_{US,k}\)
CN	0.738^*	0.424^*	0.200^*	0.734^*	0.594^*	0.176^*	0.589^*	0.225^*	0.402^*	0.141^*	0.218^*
FR	0.332^*	0.264^*	0.145^*	0.376^*	0.358^*	0.196^*	0.306^*	0.099^*	0.256^*	0.110^*	0.149^*
GE	0.375^*	0.175^*	0.061^*	0.128^*	0.330^*	0.177^*	0.343^*	0.069^*	0.223^*	0.116^*	0.086^*
JP	0.122^*	0.148^*	0.070^*	0.111^*	0.102^*	0.074^*	0.162^*	0.050^*	0.160^*	0.036^*	0.024^*
CH	0.122^*	0.033^*	0.009^*	0.088^*	0.059^*	0.023^*	0.044^*	0.011^*	0.022^*	0.034^*	0.026^*
UK	0.460^*	0.247^*	0.201^*	0.586^*	0.415^*	0.249^*	0.299^*	0.109^*	0.192^*	0.166^*	0.100^*

This table presents the Geweke feedback measures resulting from a bivariate VAR(1). Data cover different periods, all ending on 17/05/2021 (see Table 1). The tests are conducted pairwise between the returns of the US and other six 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)). \({F}_{US\to k}\) is the measure of lagged feedback from the US to country \(k\), \({F}_{k\to US}\) is the measure of lagged feedback from country \(k\) to the US, \({F}_{US\leftrightarrow k}\) is the measure of contemporaneous feedback\(,\) and \({F}_{US,k}\) is the measure of total feedback. Numbers in bold indicate the rejection of the null of no feedback at the 5% level. One asterisk, “*”, denotes significance at the 1% level. Numbers in italic represent the weight of the lagged and contemporaneous feedbacks to the total feedback

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