Table 2 Posterior means and 95% credible posterior interval in parenthesis of factor loadings (x entries are set to zero by restriction)

SPX

0.415 (0.352, 0.483)

0.071 (0.044, 0.102)

− 0.092 (− 0.121, − 0.063)

FTSE

0.717 (0.622, 0.825)

0.053 (0.032, 0.076)

− 0.016 (− 0.049, 0.002)

STOXX

0.850 (0.734, 0.973)

x

x

DAX

0.941 (0.816, 1.081)

0.000 (− 0.011, 0.013)

− 0.029 (− 0.052, 0.000)

NIKKEI

0.391 (0.326, 0.467)

0.073 (0.009, 0.122)

− 0.188 (− 0.246, − 0.138)

Gold

− 0.081 (− 0.119, − 0.044)

0.339 (0.290, 0.394)

0.268 (0.222, 0.314)

Bitcoin

0.023 (− 0.017, 0.124)

0.114 (− 0.002, 0.257)

0.008 (− 0.039, 0.098)

Euro

− 0.066 (− 0.089, − 0.047)

0.395 (0.353, 0.443)

x

Franc

− 0.079 (− 0.103, − 0.058)

0.389 (0.346, 0.438)

0.037 (0.019, 0.053)

Yen

− 0.111 (− 0.136, − 0.091)

0.194 (0.166, 0.226)

0.301 (0.256, 0.373)