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Table 3 Dynamic asymmetric connectedness table

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
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
  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 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)