From: A new analytical approach for identifying market contagion
Country/Region | Short-term slope \(\left( {\hat{\beta }_{L0} } \right)\) | Long-term slope (\(\hat{\gamma }_{L} )\) | Correlatedness slope \(\left( {\hat{\beta }_{L2} } \right)\) | S-classification | |||
---|---|---|---|---|---|---|---|
Z-statistics (p value) | Test result | Z-statistics (p value) | Test result | Z-statistics (p value) | Test result | ||
Austria | 0.5696 (0.5689) | NSB | 0.9804 (0.3269) | NLB | 1.8002 (0.0718) | NCRB | S-1 |
Finland | − 0.3412 (0.7329) | NSB | 0.9995 (0.3175) | NLB | − 1.7255 (0.0844) | NCRB | S-1 |
Singapore | − 0.3309 (0.7407) | NSB | 0.3752 (0.7075) | NLB | − 0.8731 (0.3826) | NCRB | S-1 |
Switzerland | 0.9030 (0.3665) | NSB | − 0.0959 (0.9236) | NLB | 0.5191 (0.6037) | NCRB | S-1 |
Germany | 0.3992 (0.6897) | NSB | 0.2844 (0.7761) | NLB | − 2.5688 (0.0102) | CRB | S-2 |
Sweden | 1.1001 (0.2713) | NSB | 1.1967 (0.2314) | NLB | 3.2396 (0.0012) | CRB | S-2 |
Canada | 0.7982 (0.4247) | NSB | 1.9949 (0.0461) | LB | 1.9332 (0.0532) | NCRB | S-3 |
Israel | 1.0349 (0.3007) | NSB | 5.5676 (0.0001) | LB | 1.8911 (0.0586) | NCRB | S-3 |
Norway | 1.4517 (0.1466) | NSB | 2.7502 (0.0060) | LB | 0.2120 (0.8321) | NCRB | S-3 |
Japan | 3.2586 (0.0011) | SB | 1.2034 (0.2288) | NLB | − 0.1057 (0.9158) | NCRB | S-4 |
Hong Kong | 2.1743 (0.0297) | SB | 1.7097 (0.0873) | NLB | 2.1155 (0.0344) | CRB | S-6 |
Ireland | 3.2761 (0.0011) | SB | 1.2718 (0.2034) | NLB | 5.7732 (0.0001) | CRB | S-6C |
Australia | 2.7523 (0.0059) | SB | 2.4111 (0.0159) | LB | 1.0472 (0.2950) | NCRB | S-7 |
Belgium | 2.5232 (0.0116) | SB | 2.6750 (0.0075) | LB | 0.6477 (0.5172) | NCRB | S-7C |
Italy | 2.3155 (0.0206) | SB | 2.1128 (0.0346) | LB | 1.4285 (0.1532) | NCRB | S-7 |
Netherlands | 3.2921 (0.0010) | SB | 3.1973 (0.0014) | LB | − 1.4982 (0.1341) | NCRB | S-7C |
UK | 4.6282 (0.0001) | SB | 2.0424 (0.0411) | LB | 1.1758 (0.2397) | NCRB | S-7 |
Denmark | 7.9276 (0.0001) | SB | 4.8248 (0.0001) | LB | 2.1290 (0.0333) | CRB | S-8C |
France | 3.7543 (0.0002) | SB | 2.5161 (0.0119) | LB | 1.9690 (0.0489) | CRB | S-8 |
New Zealand | 2.7614 (0.0058) | SB | 2.5294 (0.0114) | LB | 3.8960 (0.0001) | CRB | S-8C |
Portugal | 4.0425 (0.0001) | SB | 3.2373 (0.0012) | LB | 3.9412 (0.0001) | CRB | S-8C |
Spain | 3.2326 (0.0012) | SB | 5.9617 (0.0001) | LB | 3.3640 (0.0008) | CRB | S-8C |