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

Financial Innovation

Table 4 Dynamic connectedness of oil specific demand shock

	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

Results are based on a TVP-VAR with lag length of order 1 and a 10-step-ahead forecast