Financial Innovation

Table 2 Granger causality between global risk aversion (GRA) and spillover measures

From: Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spillovers

	GRA \(\to\) SOI			SOI \(\to\) GRA			Overall conclusion
	Linear	Taylor	ANN	Linear	Taylor	ANN	Overall conclusion
Overall	87.77***	2.364	1.231	11.711***	45.626***	133.91***	GRA \(\leftrightarrow\) SOI
	[0.000]	[0.124]	[0.351]	[0.000]	[0.000]	[0.000]
From sector TO all others
EN	2.076	0.823	3.139	4.355**	79.747***	34.592***	GRA \(\leftarrow\) SOI
	[0.125]	[0.438]	[0.581]	[0.012]	[0.000]	[0.000]
FIN	21.390***	3.995**	26.091***	15.435***	434.47***	155.09***	GRA \(\leftrightarrow\) SOI
	[0.000]	[0.018]	[0.000]	[0.000]	[0.000]	[0.000]
IND	17.650***	5.801***	30.112***	0.429	1.265	1.680	GRA \(\to\) SOI
	[0.000]	[0.003]	[0.000]	[0.651]	[0.201]	[0.169]
UTL	125.17***	3.101**	3.827***	0.176	10.025***	7.273***	GRA \(\leftrightarrow\) SOI
	[0.000]	[0.045]	[0.009]	[0.838]	[0.000]	[0.000]
CS	133.64***	5.376***	74.733***	12.293***	19.744***	31.343***	GRA \(\leftrightarrow\) SOI
	[0.000]	[0.004]	[0.000]	[0.000]	[0.000]	[0.000]
HC	7.528***	12.153***	98.338***	7.995***	81.907***	62.312***	GRA \(\leftrightarrow\) SOI
	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]
IT	10.216***	1.490	91.605***	1.751	8.827***	47.025***	GRA \(\leftrightarrow\) SOI
	[0.000]	[0.225]	[0.000]	[0.173]	[0.000]	[0.000]
MAT	0.304	0.145	0.304	3.310**	75.410***	26.225***	GRA \(\leftarrow\) SOI
	[0.737]	[0.864]	[0.732]	[0.036]	[0.000]	[0.000]
CD	10.296***	1.507	29.234***	13.886***	347.07***	115.74***	GRA \(\leftrightarrow\) SOI
	[0.000]	[0.221]	[0.000]	[0.000]	[0.000]	[0.000]
RE	7.096***	1.410	12.557***	4.538**	70.977***	33.143***	GRA \(\leftrightarrow\) SOI
	[0.000]	[0.244]	[0.000]	[0.011]	[0.000]	[0.000]

The above table displays the results of the linear, Tor-based and ANN-based nonlinear causality tests

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