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Table 2 Dynamic connectedness measures between stock returns

From: Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?

  China France Germany Italy Russia Spain UK US From
China 69.304 4.609 4.442 3.614 2.936 4.179 4.797 6.118 30.696
France 1.106 22.099 18.598 15.393 4.371 15.944 14.243 8.247 77.901
Germany 1.101 19.693 23.364 15.263 3.749 15.359 13.306 8.165 76.636
Italy 0.858 17.194 16.099 24.878 3.976 18.076 11.794 7.124 75.122
Russia 1.982 9.146 7.421 7.449 48.6 7.613 10.332 7.457 51.4
Spain 0.932 17.463 15.878 17.761 4.061 24.426 11.999 7.48 75.574
UK 1.344 16.886 14.854 12.518 5.752 13.083 26.322 9.242 73.678
USA 1.512 12.432 11.543 10.064 5.046 10.305 10.858 38.24 61.76
Contribution to others 8.835 97.423 88.835 82.063 29.892 84.559 77.327 53.833 522.767
Contribution including own 78.14 119.522 112.199 106.941 78.491 108.985 103.649 92.074 TCI
Net spillovers -21.86 19.522 12.199 6.941 -21.50 8.985 3.649 -7.926 65.346
  1. This table reports the variance decompositions for the estimated TVP-VAR model addressing different stock market returns. Variance decompositions are based on 10-step-ahead forecasts and a TVP-VAR lag length of order 1. The terms “Contribution to others” indicate the measure of the directional connectedness that a given variable i transmits its shock to all other variables j, following Eq. (9). The term “From” indicates the measure of the directional connectedness that a given variable i receives the shocks from all other variables j, following Eq. (8). “Net spillovers” means the difference between the two directional connectedness following Eq. (10). TCI indicates the total connectedness following Eq. (7)