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Table 6 Coefficients of the VAR(1) and significance of Granger causality in volatility

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

\(US\to CN\)

0.235*

0.320*

0.271*

0.219*

0.274*

0.108*

0.320*

0.060*

0.262*

0.200*

0.260*

\(CN\to US\)

0.190*

0.116*

0.084*

0.189*

0.134*

0.021

0.121*

0.038

0.095*

0.140*

0.123*

\(US\to FR\)

0.288*

0.335*

0.320*

0.261*

0.290*

0.276*

0.301*

0.119*

0.291*

0.098*

0.138*

\(FR\to US\)

0.152*

0.125*

0.076*

0.162*

0.123*

0.113*

0.106*

0.101*

0.129*

0.102*

0.126*

\(US\to GE\)

0.269*

0.435*

0.276*

0.037

0.244*

0.207*

0.259*

āˆ’ā€‰0.009

0.093*

0.322*

0.182*

\(GE\to US\)

0.151*

0.033*

0.044*

0.112*

0.122*

0.120*

0.150*

āˆ’ā€‰0.015

0.106*

0.135*

0.095*

\(US\to JP\)

0.187*

0.199*

0.216*

0.189*

0.154*

0.181*

0.207*

0.092*

0.185*

0.174*

0.073*

\(JP\to US\)

0.091*

0.112*

0.078*

0.080*

0.062*

0.075*

0.102*

0.052*

0.145*

0.033*

0.006*

\(US\to CH\)

0.135*

0.112*

0.090

0.116*

0.124*

0.004

0.085*

āˆ’ā€‰0.017

āˆ’ā€‰0.020*

0.032

0.196*

\(CH\to US\)

0.059*

0.028*

0.006

0.067*

0.065*

āˆ’ā€‰0.002

0.052*

āˆ’ā€‰0.007

āˆ’ā€‰0.016

0.053*

0.058*

\(US\to UK\)

0.249*

0.218*

0.214*

0.271*

0.310*

0.243*

0.256*

0.221*

0.230*

0.257*

0.201*

\(UK\to US\)

0.139*

0.135*

0.110*

0.222*

0.150*

0.119*

0.074*

0.236*

0.102*

0.138*

0.123*

  1. This table presents the coefficients of a bivariate VAR(1) and the significance of the Granger causality tests applied to weekly volatilities. Data cover different periods, all ending on 17/05/2021 (see Table 1). The tests are conducted pairwise between 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)). \(US\to k\) 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 hypothesis of no Granger causality at the 5% level. One asterisk, ā€œ*ā€, denotes significance at the 1% level
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