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Table 4 Vector error correction model for the stock markets of countries of Western Europe Region

From: Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market

  Δ AUS Δ BEL Δ BTN Δ DMK Δ FIN Δ FRN Δ GMY Δ GRC Δ IRL Δ ITL Δ LXM Δ MSCI Δ NTL Δ NRY Δ PRT Δ SPN Δ SWN Δ SWZ
Δ AUS −0.04 [−2.1] - −0.03
(−0.03)
[−1.4]
0.2
(−0.13)
[2.4]
−0.05
(−0.04)
[−1.5]
−0.03
(−0.03)
[−0.4]
−0.08
(−0.03)
[−0.8]
−0.02
(−0.0)
[−0.3]
−0.05
(−0.0)
[−2.1]
−0.05
(−0.0)
[−1.8]
0.05
(−0.0)
[1.4]
−0.03
(−0.0)
[−0.8]
−0.13
(−0.0)
[−1.5]
−0.08
(−0.0)
[−1.5]
−0.12
(−0.0)
[−2.4]
−0.02
(−0.0)
[−0.5]
−0.08
(−0.0)
[−1.5]
0.14
(−0.0)
[2.3]
0.03
(−0.0)
[0.4]
Δ BEL −0.03
[−0.9]
0.03
(−0.0)
[0.6]
- 0.07
(−0.18)
[0.6]
0.08
(−0.06)
[0.8]
0.02
(−0.08)
[0.6]
0.042
(−0.04)
[1.7]
−0.17
(−0.0)
[−2.3]
0.07
(−0.0)
[2.2]
−0.03
(−0.0)
[−0.4]
0.112
(−0.0)
[1.6]
0.05
(−0.0)
[1.3]
−0.06
(−0.1)
[−0.6]
−0.08
(−0.0)
[−1.2]
0.03
(−0.0)
[0.6]
0.04
(−0.0)
[0.8]
−0.03
(−0.0)
[−0.5]
−0.06
(−0.0)
[−0.7]
0.001
(−0.0)
[−0.1]
Δ BTN −0.08
[−4.7]
0.4
(−0.0)
[8.8]
0.05
(−0.03)
[0.5]
- −0.1
(−0.04)
[−2.4]
−0.9
(−0.27)
[−1.7]
−0.9
(−0.9)
[−1.6]
0.01
(−0.0)
[0.2]
−0.02
(−0.0)
[−1.1]
−0.08
(−0.0)
[−1.6]
0.006
(−0.0)
[0.1]
−0.07
(−0.0)
[−0.1]
−0.09
(−0.0)
[−1.2]
−0.18
(−0.0)
[−3.8]
−0.06
(−0.04)
[−1.4]
0.05
(−0.0)
[1.4]
−0.01
(−0.05)
[−0.3]
0.12
(−0.05)
[2.2]
0.17
(−0.05)
[3.1]
Δ DMK 0.09
[5.5]
−0.1
(−0.0)
[−2.8]
−0.04
(−0.0)
[−1.6]
−0.03
(−0.0)
[−0.3]
- 0.19
(−0.2)
[0.7]
0.59
(−0.7)
[2.1]
−0.06
(−0.0)
[−1.4]
0.02
(−0.0)
[1.1]
0.21
(−0.0)
[4.3]
−0.01
(−0.0)
[−0.2]
0.04
(−0.0)
[1.3]
0.134
(−0.0)
[1.9]
0.16
(−0.0)
[3.7]
0.11
(−0.0)
[2.8]
0.01
(−0.0)
[0.3]
−0.06
(−0.0)
[−0.1]
0.06
(−0.0)
[1.2]
−0.11
(−0.0)
[−2.3]
Δ FIN 0.08
[2.2]
0.37
(0.08)
[4.4]
−0.06
(−0.0)
[−0.9]
−0.41
(−0.2)
[−2.9]
−0.06
(−0.0)
[−0.7]
- −0.24
(−0.0)
[−3.6]
−0.27
(−0.1)
[−2.3]
−0.02
(−0.0)
[−0.5]
0.11
(−0.1)
[1.1]
0.10
(−0.1)
[1.8]
−0.19
(−0.0)
[−1.4]
0.15
(−0.1)
[0.6]
0.14
(−0.1)
[1.3]
0.13
(−0.0)
[1.3]
0.13
(−0.0)
[1.5]
−0.13
(−0.1)
[−1.2]
−0.04
(−0.1)
[−0.3]
0.08
(−0.1)
[0.6]
Δ FRN 0.01
[0.6]
−0.07
(−0.0)
[−1.2]
0.01
(−0.0)
[0.4]
0.01
(−0.0)
[0.4]
−0.03
(−0.0)
[−0.5]
0.72
(−0.0)
[1.8]
- −0.03
(−0.0)
[−0.1]
−0.03
(−0.0)
[−1.1]
0.04
(−0.0)
[0.6]
0.02
(−0.0)
[0.2]
0.01
(−0.0)
[0.3]
0.03
(−0.1)
[0.7]
0.03
(−0.0)
[0.4]
0.04
(−0.0)
[0.6]
0.14
(−0.06)
[1.7]
0.05
(−0.07)
[0.7]
−0.23
(−0.08)
[−2.8]
−0.08
(−0.08)
[−1.3]
Δ GMY −0.07
[−4.5]
0.13
(−0.03)
[3.75]
0.03
(−0.0)
[1.2]
0.29
(−0.08)
[3.59]
−0.08
(−0.08)
[−2.09]
−0.03
(−0.02)
[−1.54]
−0.01
(−0.02)
[−0.43]
- −0.01
(−0.0)
[−0.8]
−0.09
(−0.0)
[−2.1]
0.07
(−0.0)
[1.6]
−0.02
(−0.0)
[−0.5]
−0.17
(−0.0)
[−1.6]
0.7
(−0.0)
[8.8]
−0.05
(−0.0)
[−1.2]
0.06
(−0.03)
[1.2]
0.09
(−0.04)
[1.96]
0.09
(−0.05)
[1.86]
0.10
(−0.05)
[2.4]
Δ GRC 0.07
[2.3]
0.33
(−0.07)
[4.5]
0.07
(−0.0)
[1.5]
−0.37
(−0.17)
[−2.1]
0.09
(−0.07)
[0.2]
0.14
(−0.05)
[2.9]
−0.08
(−0.05)
[−1.4]
−0.19
(−0.0)
[−2.0]
- 0.108
(−0.0)
[1.2]
0.04
(−0.0)
[0.4]
0.02
(−0.0)
[0.3]
0.17
(−0.1)
[1.2]
0.28
(−0.0)
[2.3]
0.29
(−0.0)
[3.4]
0.08
(−0.07)
[1.5]
0.03
(−0.09)
[0.3]
−0.26
(−0.1)
[−2.5]
0.09
(−0.1)
[0.9]
Δ IRL 0.07
[1.4]
0.28
(−0.0)
[1.2]
0.06
(−0.0)
[1.7]
−0.23
(−0.1)
[−2.1]
0.01
(−0.0)
[0.5]
0.05
(−0.0)
[0.4]
−0.03
(−0.0)
[−0.9]
−0.11
(−0.0)
[−1.8]
0.04
(−0.0)
[1.6]
- 0.04
(−0.0)
[0.9]
−0.03
(−0.0)
[−0.7]
0.133
(−0.0)
[1.5]
0.08
(−0.0)
[1.5]
0.12
(−0.05)
[2.4]
0.02
(−0.04)
[0.5]
−0.01
(−0.05)
[−0.3]
−0.22
(−0.06)
[−1.5]
0.08
(−0.06)
[1.3]
Δ ITL −0.06
[−3.4]
0.11
(−0.03)
[2.8]
0.02
(−0.02)
[0.8]
0.35
(−0.08)
[4.4]
−0.04
(−0.04)
[−0.3]
−0.08
(−0.06)
[−0.6]
−0.04
(−0.1)
[−1.7]
0.179
(−0.0)
[3.4]
−0.05
(−0.0)
[−2.2]
−0.03
(−0.0)
[−0.8]
- −0.03
(−0.0)
[−0.8]
−0.08
(−0.0)
[−1.1]
0.5
(−0.0)
[7.7]
−0.01
(−0.04)
[−0.39]
0.09
(−0.04)
[2.4]
0.13
(−0.04)
[2.6]
0.01
(−0.05)
[0.1]
0.00
(−0.05)
[0.04]
Δ LXM −0.02
[−1.41]
0.02
(−0.04)
[0.56]
0.09
(−0.03)
[0.28]
0.06
(−0.11)
[0.64]
0.138
(−0.05)
[2.93]
−0.01
(−0.03)
[−0.39]
0.05
(−0.03)
[1.8]
0.13
(−0.0)
[2.3]
−0.05
(−0.0)
[−2.1]
0.09
(−0.0)
[1.7]
0.002
(−0.0)
[0.0]
- −0.09
(−0.0)
[−1.2]
0.27
(−0.0)
[5.1]
−0.05
(−0.05)
[−1.04]
0.04
(−0.04)
[0.96]
0.01
(−0.05)
[0.19]
0.06
(−0.06)
[1.04]
0.02
(−0.06)
[0.36]
Δ MSCI 0.07
[7.8]
−0.01
(−0.02)
[−0.6]
0.03
(−0.01)
[0.1]
−0.04
(−0.07)
[−0.2]
0.06
(−0.02)
[2.7]
0.06
(−0.4)
[4.39]
−0.03
(−0.05)
[−0.19]
−0.08
(−0.0)
[−3.0]
0.03
(−0.0)
[3.0]
0.16
(−0.0)
[6.4]
0.021
(−0.0)
[0.8]
0.01
(−0.0)
[0.7]
- 0.16
(−0.0)
[6.8]
0.12
(−0.02)
[5.48]
−0.07
(−0.02)
[−1.2]
0.03
(−0.02)
[1.51]
0.07
(−0.03)
[2.4]
0.03
(−0.03)
[1.2]
Δ NTL 0.03
[1.47]
−0.033
(−0.05)
[−0.56]
0.01
(−0.04)
[0.45]
−0.15
(−0.13)
[−1.14]
−0.049
(−0.06)
[−0.77]
0.09
(−0.04)
[2.39]
−0.12
(−0.04)
[−2.8]
−0.33
(−0.0)
[−4.1]
0.08
(−0.0)
[2.3]
0.05
(−0.0)
[0.7]
0.200
(−0.0)
[2.8]
−0.11
(−0.0)
[−1.8]
0.17
(−0.1)
[1.6]
- −0.02
(−0.06)
[−0.3]
−0.05
(−0.06)
[−0.9]
−0.14
(−0.07)
[−1.9]
−0.14
(−0.08)
[−1.7]
−0.06
(−0.08)
[−0.82]
Δ NRY 0.13
[7.5]
−0.15
(−0.04)
[−3.7]
0.04
(−0.03)
[1.4]
−0.37
(−0.09)
[−4.9]
−0.08
(−0.04)
[−2.6]
0.49
(−0.27)
[1.8]
0.04
(−0.09)
[1.5]
−0.15
(−0.0)
[−2.8]
0.02
(−0.0)
[0.9]
0.35
(−0.0)
[7.1]
0.163
(−0.0)
[3.4]
0.02
(−0.0)
[0.7]
0.22
(−0.0)
[2.9]
0.25
(−0.0)
[5.3]
- −0.01
(−0.04)
[−0.3]
−0.04
(−0.05)
[−0.9]
0.04
(−0.05)
[0.68]
−0.07
(−0.05)
[−1.2]
Δ PTR −0.06
[−3.2]
0.03
(−0.04)
[0.87]
−0.025
(−0.03)
[−0.76]
0.36
(−0.1)
[3.6]
−0.08
(−0.04)
[−1.89]
0.03
−0.03
[1.15]
−0.02
(−0.03)
[−0.36]
0.14
(−0.0)
[2.4]
0.03
(−0.0)
[1.1]
−0.04
(−0.0)
[−0.8]
0.03
(−0.0)
[0.5]
−0.03
(−0.0)
[−0.8]
0.03
(−0.0)
[0.4]
0.24
(−0.0)
[4.6]
−0.13
(−0.04)
[−2.71]
- −0.07
(−0.05)
[−1.42]
0.01
(−0.06)
[0.11]
−0.07
(−0.05)
[−1.2]
Δ SPN −0.04
[−2.6]
0.52
(−0.05)
[9.3]
0.04
(−0.03)
[1.9]
0.26
(−0.11)
[2.2]
−0.04
(−0.01)
[−0.7]
−0.33
(−0.35)
[−0.9]
−0.09
(−0.7)
[−2.6]
0.04
(−0.0)
[0.6]
−0.01
(−0.0)
[−0.6]
−0.12
(−0.0)
[−1.6]
0.03
(−0.0)
[0.4]
−0.09
(−0.0)
[−1.8]
−0.03
(−0.0)
[−0.2]
−0.05
−0.05
[−0.5]
−0.05
−0.05
[−0.5]
0.13
−0.05
[2.7]
- 0.05
(−0.0)
[0.69]
0.02
(−0.07)
[0.34]
Δ SWN −0.08
[−2.6]
0.46
(−0.05)
[8.1]
0.039
(−0.04)
[0.9]
0.343
(−0.13)
[2.6]
−0.03
(−0.06)
[−0.6]
−0.02
(−0.03)
[−0.4]
−0.12
(−0.02)
[−2.9]
−0.03
(−0.0)
[−0.3]
−0.03
(−0.0)
[−1.1]
−0.17
(−0.0)
[−2.4
0.06
(−0.0)
[0.8]
−0.06
(−0.0)
[−1.1]
−0.06
(−0.1)
[−0.5]
−0.12
(−0.0)
[−1.7]
−0.06
−0.06
[−0.09]
0.14
−0.05
[2.4]
0.13
−0.07
[1.8]
- 0.19
(−0.08)
[2.4]
Δ SWZ −0.08
[−4.02]
0.53
(−0.04)
[11.0]
0.04
(−0.03)
[1.12]
0.53
(−0.11)
[4.76]
−0.03
(−0.05)
[−0.63]
−0.03
(−0.03)
[−1.05]
−0.06
(−0.06)
[−1.7]
0.07
(−0.0)
[0.1]
0.01
(−0.0)
[0.5]
−0.25
(−0.0)
[−4.1]
0.02
-(0.0)
[0.3]
−0.27
(−0.5)
[−0.6]
−0.02
(−0.0)
[−0.1]
−0.18
(−0.0)
[−3.2]
−0.09
−0.05
[−1.75]
0.08
−0.05
[1.7]
−0.06
−0.06
[−1.1]
0.09
(−0.07)
[1.4]
-
  1. Note: [] presents t-Statistics and () Standard Error