| 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) |