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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