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

Financial Innovation

Table 3 Dynamic asymmetric connectedness table

	China	France	Germany	Italy	Russia	Spain	UK	US	From
Panel A: Positive returns
China	73.790	3.765	4.183	2.931	2.865	2.777	3.991	5.697	26.210
France	0.984	24.902	19.167	15.079	4.416	15.267	13.686	6.498	75.098
Germany	1.072	20.275	26.374	14.917	3.770	14.712	12.118	6.761	73.626
Italy	0.793	16.955	15.848	28.401	3.710	17.779	10.847	5.668	71.599
Russia	2.151	8.985	7.417	6.978	51.670	7.247	8.735	6.817	48.330
Spain	0.851	16.932	15.415	17.474	3.787	27.898	11.592	6.052	72.102
UK	1.462	16.544	13.757	11.745	4.926	12.714	30.848	8.004	69.152
US	2.012	10.553	10.107	8.539	4.778	8.840	10.076	45.096	54.904
Contribution to others	9.325	94.009	85.894	77.662	28.253	79.336	71.046	45.498	491.022
Contribution including own	83.115	118.911	112.268	106.062	79.923	107.234	101.894	90.594	TCI
Net spillovers	−16.885	18.911	12.268	6.062	−20.077	7.234	1.894	−9.406	61.378
Panel B: Negative returns
China	58.245	6.318	5.665	5.556	4.206	5.376	5.790	8.845	41.755
France	1.506	22.247	18.597	15.025	3.924	15.889	13.499	9.313	77.753
Germany	1.561	19.780	23.388	15.017	3.425	14.997	12.753	9.079	76.612
Italy	1.308	16.978	16.032	24.932	3.664	18.013	10.738	8.335	75.068
Russia	2.576	8.487	6.876	7.115	50.688	7.735	8.945	7.578	49.312
Spain	1.130	17.618	15.566	17.547	3.869	24.649	11.087	8.535	75.351
UK	1.611	16.898	15.053	12.005	5.138	12.705	26.266	10.324	73.734
US	2.048	12.815	12.021	10.600	4.409	10.657	9.992	37.459	62.541
Contribution to others	11.740	98.894	89.809	82.864	28.634	85.372	72.805	62.009	532.126
Contribution including own	69.985	121.141	113.197	107.796	79.322	110.021	99.071	99.468	TCI
Net spillovers	−30.015	21.141	13.197	7.796	−20.678	10.021	−0.929	−0.532	66.516

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 directional connectedness measure 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)