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Table 8 Statistics to the different interdependences

From: Interdependence between the stock market and the bond market in one country: evidence from the subprime crisis and the European debt crisis

Countries

Two Crises

US Subprime Crisis

European Debt Crisis

Robustness Test

Short-term Bond

Long-Term Bond

Short-term Bond

Long-Term Bond

Short-term Bond

Long-Term Bond

Short-term Bond

Long-Term Bond

Argentina

        

Austria

 

FTQ

 

FTQ

NS

FTQ

  

Australia

        

Belgium

FTQ

 

FTQa

   

FTQ

 

Brazil

 

NS

 

NSa

   

NS

Canada

 

FTQ

 

FTQ

 

FTQ

FTQa

FTQ

Switzerland

FTQa

 

FTQa

 

FTQa

FTQ

FTQ

 

Chile

        

China

 

FTQ

 

FTQ

 

FTQ

 

FTQa

Czech

        

Germany

      

FTQa

 

Denmark

      

FTQa

 

Spain

        

Finland

        

France

     

FTQ

  

Greece

      

FTQ

NSa

Hungary

NSa

 

NSa

  

NS

NSa

 

Indonesia

       

FTQa

Ireland

      

NS

FTQa

Israel

FTQ

 

FTQ

 

FTQ

   

India

      

NS

FTQa

Italy

FTQ

NS

FTQa

NS

 

NSa

FTQa

NSa

Japan

 

FTQa

  

NS

FTQa

NS

 

Korea

FTQ

 

FTQ

  

FTQ

FTQ

NS

Netherlands

FTQa

 

FTQa

 

FTQa

FTQ

FTQa

 

Norway

FTQa

 

FTQ

 

FTQa

NS

FTQa

 

New Zealand

  

NS

   

NS

 

Poland

 

NS

 

NS

   

NSa

Portugal

   

FTQ

   

FTQa

Sweden

      

FTQa

 

Thailand

       

FTQ

Taiwan

 

NSa

 

NSa

 

NSa

FTQa

NSa

UK

        

US

FTQa

FTQ

FTQa

 

FTQ

FTQ

FTQa

 

Vietnam

        

South Africa

   

NS

  

NS

NS

  1. ‘FTQ’ stands for Flight to Quality while ‘NQ’ stands for Negative Spillover
  2. astands for significance in 10% confidential interval