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

Financial Innovation

Table 2 Dynamic connectedness measures between stock returns

	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

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)