Table 6 Significant Lags in... | Emerald Publishing

Table 6

Significant Lags in Country–Index Equations in VAR Models estimated using five-day interval data

Country	VAR lag	Significant lags in country index equation
Country	VAR lag	Country index lags	World index lags
Australia	3	1 − ***	1+ *, 3 + *
Canada	1	–	–
France	2	–	–
Germany	3	–	3 + *
Hong Kong	1	1 − **	1 + **
Israel	5	1 − *, 3 +	1 + ***
Japan	1	1 − ***	1 + ***
Sweden	4	1 − *, 2- , 4 + **	2 + , 4 − **
UK	2	1 − *, 2 − *	1 + *, 2 +
US	2	1 − *, 2 + *	1 + *, 2 − *
Brazil	3	1 − *, 2 + *	2 − **
Chile	4	3 + , 4 −	4 + *
China	1	–	1 + ***
Greece	3	3 + **	2 + *, 3 +
India	4	1 − **, 2 +	1 + ***
Malaysia	1	–	1 + ***
Mexico	1	1 − *	–
Poland	1	–	–
Russia	1	1 − *	–
South Africa	2	2 − ***	2 + ***

Country	VAR lag	Significant lags in country index equation
Country	VAR lag	Country index lags	World index lags
Australia	3	1 − ***	1+ *, 3 + *
Canada	1	–	–
France	2	–	–
Germany	3	–	3 + *
Hong Kong	1	1 − **	1 + **
Israel	5	1 − *, 3 +	1 + ***
Japan	1	1 − ***	1 + ***
Sweden	4	1 − *, 2- , 4 + **	2 + , 4 − **
UK	2	1 − *, 2 − *	1 + *, 2 +
US	2	1 − *, 2 + *	1 + *, 2 − *
Brazil	3	1 − *, 2 + *	2 − **
Chile	4	3 + , 4 −	4 + *
China	1	–	1 + ***
Greece	3	3 + **	2 + *, 3 +
India	4	1 − **, 2 +	1 + ***
Malaysia	1	–	1 + ***
Mexico	1	1 − *	–
Poland	1	–	–
Russia	1	1 − *	–
South Africa	2	2 − ***	2 + ***

Note(s): The table summarises the significance of the lags in the Country–Index equations of the VAR models. The number of lags in the VAR is shown in the second column, while the subsequent columns report information pertaining to the significant lags. In each of the last two columns, the number denotes the order of the lag (e.g.1 for first), followed by the sign of the coefficient, and statistical significance denoted by ***, ** and * for the 99%, 95% and 90% levels respectively

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