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Table 4 Effect of the EPU on the connectedness between the stock market before and after COVID-19 pandemic

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

  Total connect Net connectedness
China France Germany Italy Russia Spain UK US
Panel A: Full period
\(\theta _{0}\) 63.0278*** −2.3180*** 2.4566*** 1.3867*** 0.9731*** −2.8318*** 1.0697*** 0.3039*** −1.0401***
  (0.1716) (0.0626) (0.0151) (0.0233) (0.0200) (0.0173) (0.0158) (0.0363) (0.0479)
\(\theta _{1}\) 0.0239*** −0.0042*** −0.0002 0.0014*** −0.0011*** 0.0015*** 0.0006*** 0.0016*** 0.0005
  (0.0013) (0.0005) (0.0001) (0.0002) (0.0002) (0.0001) (0.0001) (0.0003) (0.0004)
Panel B: Before COVID-19
\(\theta _{0}\) 64.9779*** −2.6990*** 2.3216*** 1.2773*** 0.9872*** −2.6534*** 1.1577*** 0.6811*** −1.0726***
  (0.2402) (0.0898) (0.0212) (0.0339) (0.0293) (0.0231) (0.0224) (0.0512) (0.0717)
\(\theta _{1}\) −0.0027 0.0012 0.0014*** 0.0026*** −0.0012*** −0.0010*** −0.0007*** −0.0032*** 0.0008
  (0.0026 (0.0010) (0.0002) (0.0004) (0.0003) (0.0002) (0.0002) (0.0006) (0.0008)
Panel C: COVID−19 period
\(\theta _{0}\) 65.9934*** −3.7050*** 2.9934*** 2.1246*** 0.6737*** −2.4235*** 1.2975*** −0.1945** −0.7658***
  (0.4656 (0.1382) (0.0320) (0.0242) (0.0761) (0.0791) (0.0684) (0.0920) (0.0685)
\(\theta _{1}\) 0.0241*** −0.0029*** −0.0017*** −0.0004*** −0.0005** 0.0014*** 0.0004** 0.0038*** −0.0002
  (0.0013) (0.0004) (0.0001) (0.0001) (0.0002) (0.0002) (0.0002) (0.0002) (0.0002)
  1. This table provides the parameter estimates of the model in Eq. (11). Numbers between parenthesis denote the estimated standard error. (***), (**), and (*) indicate the parameters significance at 1%, 5%,, and 10%, respectively