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Table 2 Dynamic connectedness of oil supply shock

From: Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries

  Supply Shock FTSE100 DAX30 CAC40 TSX60 FTSE MIB S&P500 N225 FROM
Supply shock 88.728 2.176 1.566 1.805 2.103 1.47 1.217 0.934 11.272
FTSE100 0.346 26.294 0.507 18.209 15.455 9.186 17.274 12.729 73.706
DAX30 1.451 2.082 86.556 1.951 3.357 1.257 2.204 1.142 13.444
CAC40 0.49 18.957 0.494 27.319 10.931 8.536 19.379 13.894 72.681
S&P TSX 0.533 20.194 0.34 13.525 35.074 7.521 12.774 10.039 64.926
FTSE MIB 0.421 13.578 0.421 12.221 9.443 37.58 14.468 11.868 62.42
SPY 0.292 17.575 0.278 18.992 10.009 10.356 26.626 15.873 73.374
N225 0.274 15.662 0.26 15.811 10.325 9.476 18.183 30.01 69.99
Contribution TO others 3.806 90.223 3.866 82.514 61.622 47.803 85.499 66.48 441.813
Contribution including own 92.534 116.517 90.421 109.833 96.697 85.383 112.125 96.489 TCI
Net spillovers  − 7.466 16.517  − 9.579 9.833  − 3.303  − 14.617 12.125  − 3.511 55.227
  1. Results are based on a TVP-VAR with lag length of order 1 and a 10-step-ahead forecast