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 |
---|---|---|---|---|---|---|---|---|---|---|---|
\({F}_{US\to k}\) | |||||||||||
CN | 0.039* | 0.090* | 0.068* | 0.031* | 0.086* | 0.003* | 0.064* | 0.010* | 0.033* | 0.043* | 0.068* |
8.8% | 27.4% | 26.9% | 5.3% | 17.1% | 3.6% | 14.4% | 13.5% | 11.7% | 24.2% | 27.9% | |
FR | 0.093* | 0.075* | 0.054* | 0.063* | 0.084* | 0.059* | 0.079* | 0.052* | 0.064* | 0.007* | 0.014* |
36.4% | 35.3% | 39.1% | 24.3% | 31.0% | 33.5% | 33.2% | 46.4% | 37.4% | 7.6% | 10.0% | |
GE | 0.084* | 0.060* | 0.029* | 0.002 | 0.079* | 0.047* | 0.060* | 0.000 | 0.007* | 0.058* | 0.038* |
28.6% | 49.1% | 38.9% | 2.0% | 29.3% | 23.5% | 21.8% | 2.9% | 6.8% | 30.3% | 30.6% | |
JP | 0.042* | 0.038* | 0.029* | 0.034* | 0.030* | 0.030* | 0.041* | 0.014* | 0.041* | 0.013* | 0.004* |
26.8% | 26.0% | 24.9% | 37.8% | 28.6% | 23.3% | 26.1% | 33.6% | 31.7% | 35.4% | 9.0% | |
CH | 0.011* | 0.004* | 0.001 | 0.011* | 0.016* | 0.000 | 0.004* | 0.000 | 0.002 | 0.001 | 0.017* |
14.9% | 14.7% | 14.1% | 21.7% | 31.4% | 0.1% | 12.5% | 7.7% | 13.8% | 5.0% | 27.5% | |
UK | 0.037* | 0.042* | 0.035* | 0.067* | 0.101* | 0.046* | 0.062* | 0.084* | 0.035* | 0.040* | 0.039* |
12.6% | 22.1% | 17.9% | 18.8% | 31.9% | 22.7% | 31.1% | 41.0% | 29.6% | 21.6% | 28.0% | |
\({F}_{k\to US}\) | |||||||||||
CN | 0.034* | 0.012* | 0.007* | 0.026* | 0.010* | 0.003* | 0.014* | 0.001 | 0.017* | 0.022* | 0.017* |
7.7% | 3.6% | 2.6% | 4.4% | 2.0% | 2.8% | 3.3% | 1.9% | 5.9% | 12.8% | 7.0% | |
FR | 0.022* | 0.025* | 0.012* | 0.027* | 0.018* | 0.018* | 0.014* | 0.005* | 0.026* | 0.035* | 0.056* |
8.5% | 11.7% | 9.0% | 10.2% | 6.6% | 10.1% | 6.0% | 4.3% | 15.2% | 37.5% | 40.7% | |
GE | 0.018* | 0.004* | 0.007* | 0.028* | 0.013* | 0.013* | 0.024* | 0.000 | 0.026* | 0.037* | 0.013* |
6.2% | 3.4% | 9.0% | 33.5% | 4.9% | 6.5% | 8.8% | 4.5% | 25.0% | 19.4% | 10.6% | |
JP | 0.009* | 0.015* | 0.012* | 0.009* | 0.006* | 0.007* | 0.014* | 0.004* | 0.023* | 0.004* | 0.000 |
5.9% | 10.5% | 10.0% | 10.2% | 5.5% | 5.5% | 8.7% | 8.4% | 17.7% | 10.9% | 0.2% | |
CH | 0.015* | 0.006* | 0.001 | 0.016* | 0.015* | 0.000 | 0.013* | 0.000 | 0.000 | 0.010* | 0.022* |
18.8% | 20.9% | 5.0% | 31.2% | 29.4% | 0.1% | 37.0% | 10.5% | 2.0% | 43.2% | 36.8% | |
UK | 0.033* | 0.024* | 0.016* | 0.043* | 0.023* | 0.018* | 0.007* | 0.049* | 0.021* | 0.041* | 0.028* |
11.3% | 12.3% | 8.3% | 12.0% | 7.2% | 9.2% | 3.3% | 23.8% | 17.5% | 22.1% | 19.9% | |
\({F}_{US\leftrightarrow k}\) | |||||||||||
CN | 0.371* | 0.228* | 0.179* | 0.521* | 0.407* | 0.084* | 0.365* | 0.063* | 0.234* | 0.111* | 0.158* |
83.5% | 69.0% | 70.5% | 90.2% | 80.9% | 93.6% | 82.3% | 84.6% | 82.5% | 63.0% | 65.2% | |
FR | 0.141* | 0.112* | 0.072* | 0.171* | 0.169* | 0.099* | 0.144* | 0.056* | 0.081* | 0.051* | 0.067* |
55.1% | 53.0% | 51.9% | 65.5% | 62.4% | 56.4% | 60.9% | 49.3% | 47.4% | 54.9% | 49.3% | |
GE | 0.192* | 0.058* | 0.038* | 0.055* | 0.179* | 0.140* | 0.190* | 0.007* | 0.071* | 0.097* | 0.072* |
65.1% | 47.5% | 52.1% | 64.4% | 65.9% | 70.0% | 69.4% | 92.6% | 68.2% | 50.4% | 58.8% | |
JP | 0.105* | 0.093* | 0.077* | 0.047* | 0.070* | 0.093* | 0.103* | 0.025* | 0.065* | 0.020* | 0.039* |
67.2% | 63.5% | 65.1% | 52.0% | 65.9% | 71.2% | 65.2% | 58.0% | 50.6% | 53.7% | 90.8% | |
CH | 0.051* | 0.019* | 0.008* | 0.024* | 0.020* | 0.017* | 0.018* | 0.002 | 0.011* | 0.012* | 0.021* |
66.3% | 64.4% | 80.9% | 47.2% | 39.3% | 99.9% | 50.5% | 81.8% | 84.3% | 51.8% | 35.7% | |
UK | 0.223* | 0.126* | 0.145* | 0.245* | 0.192* | 0.137* | 0.130* | 0.072* | 0.062* | 0.104* | 0.073* |
76.1% | 65.6% | 73.8% | 69.2% | 60.9% | 68.2% | 65.6% | 35.2% | 52.9% | 56.3% | 52.1% | |
\({F}_{US,k}\) | |||||||||||
CN | 0.445* | 0.330* | 0.254* | 0.577* | 0.503* | 0.090* | 0.443* | 0.075* | 0.283* | 0.176* | 0.242* |
FR | 0.257* | 0.211* | 0.138* | 0.261* | 0.272* | 0.176* | 0.237* | 0.113* | 0.170* | 0.093* | 0.137* |
GE | 0.295* | 0.122* | 0.073* | 0.085* | 0.271* | 0.200* | 0.274* | 0.007* | 0.104* | 0.192* | 0.123* |
JP | 0.156* | 0.147* | 0.118* | 0.091* | 0.106* | 0.130* | 0.158* | 0.043* | 0.128* | 0.037* | 0.043* |
CH | 0.077* | 0.029* | 0.010* | 0.050* | 0.050* | 0.017* | 0.036* | 0.002 | 0.013* | 0.022* | 0.060* |
UK | 0.294* | 0.192* | 0.196* | 0.354* | 0.316* | 0.201* | 0.199* | 0.206* | 0.117* | 0.185* | 0.141* |