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Table 4 Dynamic connectedness of oil specific demand shock

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

  Specific Demand Shock FTSE100 DAX30 CAC40 TSX60 FTSE MIB S&P500 N225 FROM
Specific demand shock 78.877 3.233 0.433 4.294 2.33 2.347 3.252 5.233 21.123
FTSE100 0.387 26.174 0.521 18.224 15.543 9.025 17.479 12.648 73.826
DAX30 0.554 2.078 87.417 1.961 3.374 1.363 2.174 1.078 12.583
CAC40 0.647 19.095 0.511 27.366 11.137 8.196 19.398 13.652 72.634
S&P TSX 0.324 20.251 0.337 13.726 35.003 7.402 12.964 9.993 64.997
FTSE MIB 0.985 13.546 0.414 11.811 9.375 37.731 14.234 11.903 62.269
SPY 0.585 17.781 0.27 18.909 10.146 10.091 26.538 15.679 73.462
N225 1.23 15.569 0.241 15.386 10.237 9.509 17.974 29.853 70.147
Contribution TO others 4.713 91.553 2.728 84.311 62.143 47.933 87.475 70.186 451.041
Contribution including own 83.59 117.727 90.145 111.677 97.145 85.664 114.013 100.039 TCI
Net spillovers  − 16.41 17.727  − 9.855 11.677  − 2.855  − 14.336 14.013 0.039 56.38
  1. Results are based on a TVP-VAR with lag length of order 1 and a 10-step-ahead forecast