| 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 |