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 9 Geweke feedback measures in the mean during expansions

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	0.002	0.007^*	0.002	0.000	0.000	0.000	0.000	0.002	0.000	0.002	0.005^*
CN	0.2%	1.9%	0.8%	0.0%	0.1%	0.3%	0.0%	1.0%	0.0%	2.0%	3.9%
FR	0.002	0.000	0.000	0.004^*	0.001	0.000	0.000	0.000	0.000	0.000	0.001
FR	0.5%	0.1%	0.1%	1.3%	0.2%	0.0%	0.1%	0.2%	0.0%	0.0%	1.1%
GE	0.004^*	0.000	0.002	0.000	0.000	0.002	0.001	0.000	0.000	0.000	0.000
GE	1.2%	0.3%	3.6%	0.0%	0.0%	1.0%	0.2%	0.0%	0.1%	0.2%	0.9%
JP	0.005^*	0.006^*	0.002	0.008^*	0.002	0.009^*	0.011^*	0.002	0.014^*	0.003	0.004
JP	5.2%	5.6%	4.1%	9.7%	3.5%	14.8%	8.6%	9.7%	9.6%	8.6%	18.0%
CH	0.010^*	0.000	0.000	0.006^*	0.001	0.001	0.000	0.000	0.000	0.002	0.000
CH	11.4%	0.1%	1.0%	7.7%	4.3%	5.1%	1.6%	1.5%	0.7%	10.4%	1.3%
UK	0.003^*	0.003^*	0.002^*	0.006	0.001	0.001	0.001	0.001	0.007^*	0.000	0.000
UK	0.9%	1.9%	1.3%	1.3%	0.2%	0.5%	0.5%	2.5%	4.6%	0.2%	0.5%
\({F}_{k\to US}\)
CN	0.000	0.000	0.000	0.002	0.000	0.002	0.000	0.000	0.001	0.003	0.001
CN	0.0%	0.1%	0.0%	0.3%	0.0%	1.2%	0.1%	0.0%	0.3%	2.3%	0.4%
FR	0.001	0.000	0.000	0.001	0.001	0.000	0.000	0.000	0.004	0.000	0.008^*
FR	0.2%	0.0%	0.1%	0.2%	0.3%	0.0%	0.0%	0.0%	1.9%	0.3%	7.2%
GE	0.000	0.001	0.000	0.000	0.001	0.000	0.000	0.000	0.006^*	0.001	0.000
GE	0.2%	0.5%	0.6%	0.5%	0.5%	0.3%	0.1%	0.4%	3.6%	0.6%	0.5%
JP	0.001	0.004^*	0.002	0.003^*	0.000	0.001	0.000	0.000	0.000	0.001	0.000
JP	1.2%	3.8%	3.8%	4.3%	0.3%	1.6%	0.3%	0.2%	0.0%	3.7%	2.1%
CH	0.000	0.000	0.000	0.003	0.002	0.001	0.000	0.000	0.001	0.000	0.001
CH	0.1%	0.8%	4.3%	3.5%	6.5%	6.4%	0.2%	3.8%	6.4%	0.2%	7.2%
UK	0.000	0.000	0.001	0.005^*	0.000	0.000	0.000	0.001	0.001	0.001	0.000
UK	0.1%	0.0%	0.5%	1.0%	0.1%	0.1%	0.0%	2.0%	0.4%	0.4%	0.0%
\({F}_{US\leftrightarrow k}\)
CN	0.680^*	0.374^*	0.192^*	0.577^*	0.494^*	0.167^*	0.502^*	0.176^*	0.398^*	0.118^*	0.126^*
CN	99.7%	98.0%	99.2%	99.6%	99.9%	98.5%	99.9%	99.0%	99.7%	95.7%	95.7%
FR	0.279^*	0.213^*	0.122^*	0.279^*	0.268^*	0.180^*	0.228^*	0.049^*	0.202^*	0.101^*	0.102^*
FR	99.2%	99.9%	99.8%	98.5%	99.5%	100%	99.9%	99.8%	98.1%	99.7%	91.7%
GE	0.289^*	0.150^*	0.052^*	0.062^*	0.248^*	0.168^*	0.261^*	0.035^*	0.165^*	0.104^*	0.045^*
GE	98.6%	99.1%	95.8%	99.5%	99.5%	98.7%	99.6%	99.6%	96.3%	99.2%	98.7%
JP	0.089^*	0.103^*	0.049^*	0.067^*	0.061^*	0.049^*	0.121^*	0.022^*	0.133^*	0.028^*	0.017^*
JP	93.7%	90.6%	92.1%	86.0%	96.2%	83.6%	91.1%	90.2%	90.3%	87.7%	79.9%
CH	0.077^*	0.024^*	0.007^*	0.064^*	0.024^*	0.012^*	0.027^*	0.004^*	0.012^*	0.014^*	0.017^*
CH	88.5%	99.2%	94.8%	88.8%	89.3%	88.4%	98.2%	94.8%	92.9%	89.4%	91.5%
UK	0.349^*	0.167^*	0.169^*	0.460^*	0.313^*	0.231^*	0.206^*	0.051^*	0.139^*	0.138^*	0.069^*
UK	99.0%	98.1%	98.3%	97.6%	99.7%	99.4%	99.5%	95.5%	95.0%	99.4%	99.5%
\({F}_{US,k}\)
CN	0.682^*	0.382^*	0.194^*	0.580^*	0.495^*	0.170^*	0.503^*	0.178^*	0.399^*	0.124^*	0.131^*
FR	0.281^*	0.213^*	0.122^*	0.284^*	0.270^*	0.181^*	0.228^*	0.049^*	0.206^*	0.101^*	0.111^*
GE	0.293^*	0.152^*	0.054^*	0.062^*	0.249^*	0.170^*	0.262^*	0.035^*	0.172^*	0.105^*	0.046^*
JP	0.095^*	0.114^*	0.053^*	0.078^*	0.063^*	0.058^*	0.132^*	0.025^*	0.147^*	0.032^*	0.022^*
CH	0.087^*	0.024^*	0.007^*	0.072^*	0.027^*	0.014^*	0.028^*	0.004^*	0.013^*	0.016^*	0.019^*
UK	0.352^*	0.170^*	0.171^*	0.472^*	0.314^*	0.232^*	0.207^*	0.053^*	0.146^*	0.139^*	0.070^*

This table presents the Geweke feedback measures resulting from a bivariate VAR(1) applied to weekly returns using data in periods identified as expansions in the US according to the NBER business cycle classification (https://www.nber.org/research/data/us-business-cycle-expansions-and-contractions). 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)). \({F}_{US\to k}\) 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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