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Table 5 Total and net dynamic connectedness averages based on different TVP-VAR lag orders

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

 

Net spillovers

TCI

China

France

Germany

Italy

Russia

Spain

UK

US

Returns

 \(k = 1\)

−21.86

19.522

12.199

6.941

−21.509

8.985

3.649

−7.926

65.346

 \(k = 2\)

−22.16

19.457

11.983

7.568

−21.682

9.451

3.992

−8.609

65.747

 \(k = 3\)

−24.241

19.847

12.754

7.951

−21.72

8.693

1.682

−4.966

66.033

 \(k = 4\)

−24.888

20.192

12.572

8.018

−21.259

8.779

2.696

−6.111

66.646

 \(k = 5\)

−27.521

20.388

13.076

8.267

−20.806

9.377

3.879

−6.661

67.491

Positive returns

 \(k = 1\)

−16.885

18.911

12.268

6.062

−20.077

7.234

1.894

−9.406

61.378

 \(k = 2\)

−18.905

19.165

11.719

6.899

−20.444

7.741

3.573

−9.748

62.452

 \(k = 3\)

−13.386

18.667

10.69

4.896

−19.964

7.244

0.301

−8.447

59.999

 \(k = 4\)

−16.58

18.404

10.899

5.715

−19.541

7.83

0.561

−7.288

60.907

 \(k = 5\)

−17.39

18.053

10.441

6.335

−20.001

8.289

0.754

−6.481

61.869

Negative returns

 \(k = 1\)

−30.015

21.141

13.197

7.796

−20.678

10.021

−0.929

−0.532

66.516

 \(k = 2\)

−27.667

20.847

13.23

8.035

−21.479

9.496

0.121

−2.582

66.565

 \(k = 3\)

−28.208

19.29

10.69

9.633

−16.894

9.068

−2.017

−1.561

63.988

 \(k = 4\)

−27.422

18.559

11.209

10.035

−17.457

9.475

−1.783

−2.616

64.428

 \(k = 5\)

−29.064

18.888

11.153

10.673

−18.446

9.631

−0.651

−2.185

65.341

  1. This table contains the averages of the dynamic total and net spillover indices based on the TVP-VAR model with lag order between 1 and 5