From: Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market
Variance Decomposition of AUSTRIA: | ||||||||||||||||||
Period | AUS | BEL | BTN | DMK | FIN | FRN | GMY | GRC | IRL | ITL | LXM | MSC | NTL | NRY | PRT | SPN | SWN | SWZ |
1 | 100.00 | 0.00 | 0.000 | 0.000 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.000 |
2 | 96.810 | 0.156 | 0.660 | 0.367 | 0.03 | 0.044 | 0.059 | 0.982 | 0.171 | 0.460 | 0.027 | 0.01 | 0.074 | 0.051 | 0.00 | 0.04 | 0.18 | 0.001 |
5 | 91.920 | 0.162 | 0.984 | 0.411 | 0.06 | 0.192 | 0.140 | 0.950 | 0.270 | 0.632 | 0.224 | 0.06 | 0.380 | 0.456 | 1.270 | 1.55 | 0.12 | 0.199 |
10 | 91.833 | 0.163 | 0.986 | 0.416 | 0.07 | 0.193 | 0.142 | 0.954 | 0.274 | 0.643 | 0.225 | 0.06 | 0.420 | 0.459 | 1.27 | 1.58 | 0.13 | 0.20 |
Variance Decomposition of BELGIUM: | ||||||||||||||||||
Period | AUS | BEL | BTN | DMK | FIN | FRN | GMY | GRC | IRL | ITL | LXM | MSC | NTL | NRY | PRT | SPN | SWN | SWZ |
1 | 0.210 | 99.790 | 0.000 | 0.000 | 0.00 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.00 | 0.000 | 0.000 | 0.00 | 0.00 | 0.00 | 0.000 |
2 | 0.257 | 95.002 | 0.577 | 0.371 | 0.04 | 0.101 | 0.974 | 0.647 | 0.079 | 0.190 | 0.179 | 0.08 | 0.000 | 0.213 | 0.47 | 0.67 | 0.03 | 0.079 |
5 | 0.284 | 91.201 | 0.979 | 0.667 | 0.20 | 0.144 | 1.093 | 0.883 | 0.117 | 0.365 | 0.271 | 0.40 | 0.116 | 0.590 | 1.05 | 0.96 | 0.09 | 0.615 |
10 | 0.317 | 91.130 | 0.987 | 0.667 | 0.26 | 0.149 | 1.092 | 0.885 | 0.118 | 0.366 | 0.271 | 0.40 | 0.132 | 0.590 | 1.05 | 0.96 | 0.06 | 0.615 |
Variance Decomposition of BRITAIN- UK | ||||||||||||||||||
Period | AUS | BEL | BTN | DMK | FIN | FRN | GMY | GRC | IRL | ITL | LXM | MSC | NTL | NRY | PRT | SPN | SWN | SWZ |
1 | 0.731 | 0.001 | 99.268 | 0.000 | 0.00 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.00 | 0.000 | 0.000 | 0.00 | 0.00 | 0.00 | 0.000 |
2 | 19.391 | 0.143 | 78.855 | 0.178 | 0.07 | 0.077 | 0.083 | 0.188 | 0.090 | 0.034 | 0.102 | 0.02 | 0.003 | 0.098 | 0.34 | 0.01 | 0.00 | 0.317 |
5 | 18.925 | 0.219 | 76.426 | 0.223 | 0.28 | 0.562 | 0.122 | 0.427 | 0.118 | 0.269 | 0.115 | 0.26 | 0.177 | 0.361 | 0.79 | 0.12 | 0.16 | 0.424 |
10 | 18.930 | 0.222 | 76.319 | 0.224 | 0.28 | 0.567 | 0.123 | 0.434 | 0.122 | 0.270 | 0.116 | 0.26 | 0.218 | 0.367 | 0.79 | 0.13 | 0.18 | 0.425 |
Variance Decomposition of DENMARK: | ||||||||||||||||||
Period | AUS | BEL | BTN | DMK | FIN | FRN | GMY | GRC | IRL | ITL | LXM | MSC | NTL | NRY | PRT | SPN | SWN | SWZ |
1 | 0.062 | 0.004 | 0.106 | 99.828 | 0.00 | 0.00 | 0.000 | 0.00 | 0.00 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.00 | 0.00 | 0.000 |
2 | 0.051 | 0.186 | 27.43 | 67.742 | 0.77 | 0.24 | 0.000 | 0.25 | 0.55 | 0.003 | 0.021 | 0.023 | 0.199 | 0.001 | 0.002 | 0.19 | 2.29 | 0.032 |
5 | 9.262 | 0.717 | 24.65 | 57.690 | 0.87 | 0.64 | 0.039 | 0.37 | 0.63 | 0.260 | 0.150 | 0.377 | 0.390 | 0.658 | 0.325 | 0.44 | 2.39 | 0.111 |
10 | 9.278 | 0.725 | 24.59 | 57.573 | 0.88 | 0.64 | 0.046 | 0.38 | 0.64 | 0.300 | 0.150 | 0.377 | 0.420 | 0.661 | 0.343 | 0.45 | 2.40 | 0.122 |
Variance Decomposition of FINLAND: | ||||||||||||||||||
Period | AUS | BEL | BTN | DMK | FIN | FRN | GMY | GRC | IRL | ITL | LXM | MSC | NTL | NRY | PRT | SPN | SWN | SWZ |
1 | 0.023 | 0.000 | 29.32 | 0.205 | 70.4 | 0.00 | 0.000 | 0.00 | 0.00 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.00 | 0.00 | 0.000 |
2 | 5.977 | 0.236 | 26.67 | 0.590 | 63.9 | 0.78 | 0.007 | 0.11 | 0.00 | 0.241 | 0.794 | 0.000 | 0.035 | 0.033 | 0.438 | 0.00 | 0.03 | 0.112 |
5 | 5.837 | 0.316 | 26.29 | 0.637 | 62.3 | 1.07 | 0.026 | 0.44 | 0.21 | 0.420 | 1.069 | 0.026 | 0.218 | 0.106 | 0.542 | 0.11 | 0.20 | 0.149 |
10 | 5.837 | 0.316 | 26.28 | 0.638 | 62.2 | 1.08 | 0.027 | 0.44 | 0.21 | 0.421 | 1.069 | 0.026 | 0.259 | 0.108 | 0.543 | 0.11 | 0.21 | 0.150 |
Variance Decomposition of FRANCE: | ||||||||||||||||||
Period | AUS | BEL | BTN | DMK | FIN | FRN | GMY | GRC | IRL | ITL | LXM | MSC | NTL | NRY | PRT | SPN | SWN | SWZ |
1 | 0.000 | 0.211 | 0.162 | 0.396 | 1.00 | 98.30 | 0.000 | 0.00 | 0.00 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.00 | 0.00 | 0.000 |
2 | 0.344 | 0.263 | 0.177 | 0.457 | 0.98 | 95.96 | 0.063 | 0.20 | 0.07 | 0.052 | 0.149 | 0.002 | 0.034 | 0.010 | 0.449 | 0.00 | 1.34 | 0.015 |
5 | 0.938 | 0.258 | 0.871 | 0.514 | 1.29 | 91.92 | 0.081 | 0.91 | 0.36 | 0.127 | 0.217 | 0.014 | 0.268 | 0.670 | 0.471 | 0.16 | 1.36 | 0.112 |
10 | 0.973 | 0.258 | 0.873 | 0.515 | 1.31 | 91.22 | 0.082 | 0.93 | 0.36 | 0.128 | 0.218 | 0.014 | 0.273 | 0.671 | 0.481 | 0.10 | 1.39 | 0.112 |
Variance Decomposition of GERMANY: | ||||||||||||||||||
Period | AUS | BEL | BTN | DMK | FIN | FRN | GMY | GRC | IRL | ITL | LXM | MSC | NTL | NRY | PRT | SPN | SWN | SWZ |
1 | 0.637 | 0.052 | 0.02 | 0.023 | 0.573 | 0.90 | 97.781 | 0.00 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.00 | 0.000 |
2 | 0.376 | 0.057 | 0.07 | 0.827 | 0.246 | 0.43 | 24.490 | 0.13 | 0.080 | 0.316 | 0.259 | 0.065 | 72.495 | 0.079 | 0.027 | 0.091 | 0.01 | 0.016 |
5 | 0.759 | 0.082 | 0.09 | 0.812 | 1.254 | 0.73 | 23.205 | 0.37 | 0.260 | 0.850 | 0.279 | 0.439 | 68.163 | 0.217 | 0.209 | 1.423 | 0.33 | 0.504 |
10 | 0.761 | 0.086 | 0.10 | 0.816 | 1.257 | 0.74 | 23.186 | 0.37 | 0.270 | 0.850 | 0.280 | 0.441 | 68.106 | 0.220 | 0.220 | 1.430 | 0.33 | 0.519 |
Variance Decomposition of GREECE: | ||||||||||||||||||
Period | AUS | BEL | BTN | DMK | FIN | FRN | GMY | GRC | IRL | ITL | LXM | MSC | NTL | NRY | PRT | SPN | SWN | SWZ |
1 | 0.070 | 0.294 | 6.68 | 0.070 | 1.744 | 0.32 | 0.003 | 90.8 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.00 | 0.000 |
2 | 6.584 | 0.747 | 6.35 | 0.105 | 2.407 | 0.62 | 0.179 | 80.4 | 0.076 | 0.119 | 0.056 | 0.003 | 0.211 | 0.875 | 0.465 | 0.162 | 0.36 | 0.250 |
5 | 8.929 | 0.822 | 6.41 | 0.200 | 2.282 | 0.60 | 0.203 | 76.7 | 0.140 | 0.181 | 0.157 | 0.007 | 0.406 | 0.896 | 0.682 | 0.295 | 0.72 | 0.269 |
10 | 8.970 | 0.821 | 6.40 | 0.207 | 2.282 | 0.60 | 0.208 | 76.6 | 0.142 | 0.192 | 0.157 | 0.008 | 0.483 | 0.896 | 0.687 | 0.299 | 0.73 | 0.270 |
Variance Decomposition of IRELAND: | ||||||||||||||||||
Period | AUS | BEL | BTN | DMK | FIN | FRN | GMY | GRC | IRL | ITL | LXM | MSC | NTL | NRY | PRT | SPN | SWN | SWZ |
1 | 0.237 | 0.095 | 25.7 | 0.370 | 0.522 | 0.13 | 0.035 | 1.03 | 71.83 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.00 | 0.000 |
2 | 13.78 | 0.551 | 21.6 | 0.400 | 0.540 | 0.39 | 0.030 | 0.85 | 59.14 | 0.028 | 0.342 | 0.134 | 0.336 | 0.262 | 0.239 | 0.125 | 0.58 | 0.604 |
5 | 14.79 | 0.559 | 20.7 | 0.521 | 0.599 | 0.42 | 0.039 | 2.31 | 55.48 | 0.169 | 0.349 | 0.163 | 0.429 | 0.297 | 0.605 | 0.863 | 0.85 | 0.774 |
10 | 14.79 | 0.560 | 20.7 | 0.524 | 0.602 | 0.42 | 0.041 | 2.30 | 55.40 | 0.175 | 0.349 | 0.165 | 0.482 | 0.302 | 0.611 | 0.872 | 0.86 | 0.773 |
Variance Decomposition of ITALY: | ||||||||||||||||||
Period | AUS | BEL | BTN | DMK | FIN | FRN | GMY | GRC | IRL | ITL | LXM | MSC | NTL | NRY | PRT | SPN | SWN | SWZ |
1 | 0.666 | 0.721 | 0.023 | 0.004 | 0.052 | 0.000 | 12.8 | 0.70 | 0.59 | 84.3 | 0.000 | 0.000 | 0.000 | 0.000 | 0.00 | 0.000 | 0.00 | 0.000 |
2 | 0.472 | 0.329 | 0.266 | 0.068 | 0.056 | 0.485 | 5.35 | 0.29 | 0.37 | 34.5 | 0.596 | 0.018 | 55.731 | 0.337 | 0.68 | 0.128 | 0.21 | 0.032 |
5 | 0.850 | 0.362 | 0.490 | 0.756 | 1.598 | 0.579 | 5.60 | 0.95 | 0.41 | 32.5 | 0.560 | 0.069 | 51.838 | 0.365 | 0.79 | 0.859 | 1.02 | 0.314 |
10 | 0.851 | 0.366 | 0.493 | 0.761 | 1.597 | 0.580 | 5.60 | 0.95 | 0.41 | 32.5 | 0.560 | 0.069 | 51.830 | 0.366 | 0.79 | 0.860 | 1.02 | 0.317 |
Variance Decomposition of LUXEMBOURG: | ||||||||||||||||||
Period | AUS | BEL | BTN | DMK | FIN | FRN | GMY | GRC | IRL | ITL | LXM | MSC | NTL | NRY | PRT | SPN | SWN | SWZ |
1 | 0.122 | 0.158 | 0.390 | 0.110 | 0.152 | 0.535 | 2.32 | 0.49 | 0.31 | 0.78 | 94.611 | 0.000 | 0.000 | 0.000 | 0.00 | 0.000 | 0.00 | 0.000 |
2 | 0.151 | 0.121 | 0.403 | 0.390 | 0.484 | 0.466 | 3.42 | 0.41 | 1.06 | 0.59 | 72.144 | 0.037 | 19.735 | 0.032 | 0.28 | 0.050 | 0.20 | 0.007 |
5 | 0.310 | 0.121 | 0.564 | 1.230 | 1.312 | 1.405 | 3.13 | 0.60 | 1.02 | 0.84 | 64.818 | 0.044 | 23.295 | 0.041 | 0.37 | 0.301 | 0.48 | 0.089 |
10 | 0.313 | 0.124 | 0.566 | 1.230 | 1.312 | 1.408 | 3.13 | 0.60 | 1.02 | 0.84 | 64.783 | 0.045 | 23.303 | 0.042 | 0.37 | 0.303 | 0.48 | 0.096 |
Variance Decomposition of MSCI: | ||||||||||||||||||
Period | AUS | BEL | BTN | DMK | FIN | FRN | GMY | GRC | IRL | ITL | LXM | MSC | NTL | NRY | PRT | SPN | SWN | SWZ |
1 | 0.246 | 1.195 | 0.225 | 0.393 | 0.004 | 0.199 | 0.95 | 0.12 | 0.37 | 0.17 | 0.014 | 96.095 | 0.000 | 0.000 | 0.00 | 0.000 | 0.00 | 0.000 |
2 | 1.321 | 0.380 | 53.852 | 0.136 | 6.006 | 0.124 | 0.32 | 0.89 | 1.27 | 0.05 | 0.010 | 30.817 | 0.001 | 0.000 | 0.01 | 1.907 | 2.27 | 0.610 |
5 | 18.635 | 0.323 | 41.713 | 0.141 | 4.910 | 1.085 | 0.26 | 1.62 | 1.04 | 0.37 | 0.205 | 23.987 | 0.047 | 0.097 | 0.93 | 1.673 | 2.09 | 0.853 |
10 | 18.601 | 0.327 | 41.562 | 0.182 | 4.907 | 1.083 | 0.28 | 1.63 | 1.06 | 0.40 | 0.207 | 23.897 | 0.176 | 0.102 | 0.93 | 1.677 | 2.10 | 0.853 |
Variance Decomposition of NETHERLANDS: | ||||||||||||||||||
Period | AUS | BEL | BTN | DMK | FIN | FRN | GMY | GRC | IRL | ITL | LXM | MSC | NTL | NRY | PRT | SPN | SWN | SWZ |
1 | 0.016 | 0.428 | 0.065 | 0.312 | 0.304 | 0.05 | 0.074 | 0.307 | 0.034 | 0.190 | 0.617 | 0.020 | 97.57 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
2 | 0.075 | 0.429 | 0.189 | 0.310 | 1.458 | 0.17 | 0.783 | 0.841 | 0.035 | 0.816 | 0.624 | 0.130 | 93.02 | 0.191 | 0.116 | 0.526 | 0.264 | 0.017 |
5 | 0.424 | 0.431 | 0.230 | 0.324 | 1.475 | 0.35 | 0.940 | 0.980 | 0.172 | 0.838 | 0.633 | 0.214 | 90.80 | 0.293 | 0.200 | 0.800 | 0.260 | 0.626 |
10 | 0.428 | 0.431 | 0.233 | 0.324 | 1.477 | 0.35 | 0.943 | 0.980 | 0.174 | 0.837 | 0.634 | 0.215 | 90.77 | 0.295 | 0.201 | 0.806 | 0.260 | 0.635 |
Variance Decomposition of NORWAY: | ||||||||||||||||||
Period | AUS | BEL | BTN | DMK | FIN | FRN | GMY | GRC | IRL | ITL | LXM | MSC | NTL | NRY | PRT | SPN | SWN | SWZ |
1 | 0.331 | 0.336 | 0.120 | 2.909 | 0.081 | 0.10 | 0.010 | 0.005 | 1.127 | 0.034 | 0.053 | 0.200 | 0.005 | 94.68 | 0.000 | 0.000 | 0.000 | 0.000 |
2 | 0.650 | 0.249 | 19.93 | 2.869 | 2.883 | 0.08 | 0.165 | 0.576 | 3.686 | 1.197 | 0.038 | 0.147 | 0.469 | 63.41 | 0.000 | 0.612 | 2.881 | 0.146 |
5 | 21.778 | 0.251 | 15.36 | 2.249 | 2.285 | 0.51 | 0.145 | 1.115 | 2.828 | 1.208 | 0.068 | 0.321 | 0.464 | 45.78 | 0.411 | 0.933 | 2.909 | 1.374 |
10 | 21.748 | 0.258 | 15.31 | 2.289 | 2.284 | 0.52 | 0.166 | 1.111 | 2.844 | 1.262 | 0.069 | 0.320 | 0.542 | 45.59 | 0.432 | 0.949 | 2.915 | 1.382 |
Variance Decomposition of PORTUGAL: | ||||||||||||||||||
Period | AUS | BEL | BTN | DMK | FIN | FRN | GMY | GRC | IRL | ITL | LXM | MSC | NTL | NRY | PRT | SPN | SWN | SWZ |
1 | 0.374 | 0.081 | 0.179 | 0.151 | 0.483 | 0.19 | 6.133 | 0.023 | 0.003 | 3.225 | 2.504 | 0.024 | 1.841 | 0.276 | 84.513 | 0.000 | 0.000 | 0.000 |
2 | 0.264 | 0.192 | 0.578 | 1.185 | 0.706 | 0.13 | 4.341 | 0.340 | 0.201 | 3.163 | 2.026 | 0.049 | 28.68 | 0.599 | 56.171 | 0.806 | 0.253 | 0.306 |
5 | 1.332 | 0.277 | 0.740 | 1.244 | 0.819 | 0.19 | 4.263 | 0.476 | 0.307 | 3.966 | 1.929 | 0.155 | 28.43 | 0.607 | 52.998 | 1.284 | 0.452 | 0.527 |
10 | 1.352 | 0.280 | 0.742 | 1.248 | 0.822 | 0.19 | 4.261 | 0.476 | 0.312 | 3.964 | 1.928 | 0.155 | 28.41 | 0.608 | 52.962 | 1.289 | 0.452 | 0.536 |
Variance Decomposition of SPAIN: | ||||||||||||||||||
Periodd | AUS | BEL | BTN | DMK | FIN | FRN | GMY | GRC | IRL | ITL | LXM | MSC | NTL | NRY | PRT | SPN | SWN | SWZ |
1 | 1.01 | 0.003 | 40.556 | 0.195 | 3.700 | 0.14 | 0.581 | 1.744 | 1.62 | 0.00 | 0.153 | 0.025 | 0.001 | 0.095 | 0.043 | 50.126 | 0.000 | 0.00 |
2 | 19.843 | 0.208 | 31.610 | 0.168 | 2.937 | 0.40 | 0.490 | 1.690 | 1.33 | 0.11 | 0.731 | 0.233 | 0.028 | 0.248 | 0.773 | 39.135 | 0.024 | 0.02 |
5 | 19.380 | 0.240 | 30.658 | 0.436 | 3.083 | 0.86 | 0.503 | 2.167 | 1.37 | 0.22 | 1.014 | 0.328 | 0.097 | 0.413 | 1.087 | 37.955 | 0.107 | 0.06 |
10 | 19.398 | 0.240 | 30.616 | 0.440 | 3.081 | 0.87 | 0.504 | 2.167 | 1.37 | 0.23 | 1.013 | 0.328 | 0.143 | 0.417 | 1.087 | 37.903 | 0.118 | 0.06 |
Variance Decomposition of SWEDEN: | ||||||||||||||||||
Period | AUS | BEL | BTN | DMK | FIN | FRN | GMY | GRC | IRL | ITL | LXM | MSC | NTL | NRY | PRT | SPN | SWN | SWZ |
1 | 0.300 | 0.003 | 41.903 | 0.307 | 18.29 | 0.41 | 0.075 | 0.225 | 0.82 | 0.00 | 0.001 | 0.002 | 0.128 | 0.103 | 0.108 | 3.861 | 33.465 | 0.00 |
2 | 11.735 | 0.216 | 35.030 | 0.283 | 15.16 | 1.04 | 0.067 | 0.474 | 0.83 | 0.26 | 0.356 | 0.031 | 0.195 | 0.621 | 0.566 | 3.882 | 28.777 | 0.50 |
5 | 11.491 | 0.337 | 33.592 | 0.422 | 14.53 | 1.38 | 0.087 | 0.815 | 1.05 | 0.83 | 0.674 | 0.051 | 0.310 | 0.751 | 0.772 | 4.300 | 27.937 | 0.65 |
10 | 11.516 | 0.337 | 33.550 | 0.425 | 14.51 | 1.37 | 0.089 | 0.817 | 1.04 | 0.838 | 0.674 | 0.051 | 0.359 | 0.754 | 0.773 | 4.296 | 27.909 | 0.65 |
Variance Decomposition of SWITZERLAND: | ||||||||||||||||||
Period | AUS | BEL | BTN | DMK | FIN | FRN | GMY | GRC | IRL | ITL | LXM | MSC | NTL | NRY | PRT | SPN | SWN | SWZ |
1 | 0.218 | 0.283 | 46.700 | 0.144 | 0.203 | 0.24 | 0.102 | 0.976 | 2.04 | 0.01 | 0.017 | 0.208 | 0.054 | 0.118 | 0.019 | 4.653 | 0.208 | 43.8 |
2 | 19.527 | 0.433 | 36.318 | 0.145 | 0.222 | 0.25 | 0.174 | 0.930 | 2.29 | 0.12 | 0.156 | 0.554 | 0.091 | 0.109 | 0.363 | 4.035 | 0.218 | 34.0 |
5 | 18.970 | 0.453 | 34.757 | 0.192 | 0.587 | 0.69 | 0.312 | 1.416 | 2.72 | 0.63 | 0.193 | 0.796 | 0.236 | 0.138 | 0.871 | 4.086 | 0.364 | 32.5 |
10 | 18.993 | 0.456 | 34.704 | 0.197 | 0.589 | 0.69 | 0.316 | 1.415 | 2.72 | 0.63 | 0.195 | 0.795 | 0.304 | 0.140 | 0.872 | 4.079 | 0.372 | 32.5 |