Dynamic spatiotemporal correlation coefficient based on adaptive weight

Mo, Guoli; Tan, Chunzhi; Zhang, Weiguo; Yu, Xuezeng

doi:10.1186/s40854-022-00437-3

Financial Innovation

Table 3 Spatiotemporal correlation coefficients for 29 indices with equal weights (Stage 2)

From: Dynamic spatiotemporal correlation coefficient based on adaptive weight

Ordinal	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
Index	DJI.GI	*000001.SH*	FTSE.GI	FCHI.GI	GDAXI.GI	SSMI.GI	BFX.GI	AEX.GI	OSEAX.GI	ITLMS.GI	IBEX.GI	OMXS30.ST	*RTS.GI*	TA100.GI	N225.GI
1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
2	0.44***	0	0	0	0	0	0	0	0	0	0	0	0	0	0
3	0.55***	0.52***	0	0	0	0	0	0	0	0	0	0	0	0	0
4	0.42***	0.44***	0.84***	0	0	0	0	0	0	0	0	0	0	0	0
5	0.79***	0.40***	0.64***	0.64***	0	0	0	0	0	0	0	0	0	0	0
6	0.69***	0.64***	0.76***	0.70***	0.74***	0	0	0	0	0	0	0	0	0	0
7	0.56***	0.63***	0.84***	0.83***	0.71***	0.87***	0	0	0	0	0	0	0	0	0
8	0.52***	0.54***	0.92***	0.86***	0.74***	0.80***	0.91***	0	0	0	0	0	0	0	0
9	0.71***	0.40***	0.61***	0.50***	0.84***	0.69***	0.62***	0.67***	0	0	0	0	0	0	0
10	0.50***	0.45***	0.77***	0.76***	0.64***	0.68***	0.81***	0.86***	0.62***	0	0	0	0	0	0
11	0.24	0.26	0.25	0.27	0.14	0.29	0.38**	0.31	0.08	0.31	0	0	0	0	0
12	0.41***	0.39***	0.41***	0.40***	0.50***	0.59***	0.53***	0.47***	0.46***	0.41***	0.59***	0	0	0	0
13	0.50***	0.26	0.38***	0.29	0.66***	0.45***	0.40***	0.44***	0.68***	0.42***	−0.01	0.34	0	0	0
14	0.43***	0.54***	0.67***	0.54***	0.52***	0.67***	0.69***	0.71***	0.55***	0.65***	0.20	0.39***	0.39***	0	0
15	0.65***	0.36**	0.41***	0.27	0.65***	0.51***	0.43***	0.45***	0.66***	0.39***	−0.05	0.31	0.55***	0.44***	0
16	0.31	0.60***	0.61***	0.66***	0.31	0.54***	0.58***	0.56***	0.29	0.43***	0.19	0.28	0.16	0.44***	0.27
17	0.45***	0.57***	0.57***	0.53***	*0.26*	0.50***	0.53***	0.51***	*0.25*	0.38**	*0.31*	*0.26*	*0.10*	0.40***	*0.24*
18	0.66***	0.49***	0.47***	0.40***	0.66***	0.65***	0.56***	0.50***	0.64***	0.41***	*0.11*	0.46***	0.50***	0.45***	0.55***
19	0.50***	0.34**	*0.15*	*0.07*	0.40***	0.35**	*0.26*	*0.18*	0.37**	*0.08*	0	*0.18*	*0.23*	*0.16*	0.42***
20	0.61***	0.64***	0.65***	0.53***	0.66***	0.81***	0.71***	0.68***	0.66***	0.56***	*0.18*	0.54***	0.47***	0.65***	0.60***
21	0.55***	0.34**	0.40***	*0.25*	0.62***	0.49***	0.41***	0.43***	0.65***	0.36**	*−0.09*	*0.27*	0.51***	0.41***	0.68***
22	0.36**	0.55***	0.75***	0.69***	0.44***	0.61***	0.66***	0.69***	0.43***	0.57***	*0.15*	*0.31*	*0.28*	0.57***	0.43***
23	0.44***	0.55***	0.82***	0.68***	0.50***	0.66***	0.71***	0.78***	0.53***	0.65***	0.18	0.34**	0.36**	0.68***	0.46***
24	0.34**	0.46***	0.71***	0.69***	0.38***	0.55***	0.59***	0.65***	0.38**	0.51***	0.07	0.23	0.22	0.53***	0.38**
25	0.73***	0.52***	0.55***	0.43***	0.77***	0.70***	0.60***	0.57***	0.75***	0.45***	0.06	0.43***	0.57***	0.54***	0.72***
26	0.57***	0.49***	0.80***	0.79***	0.50***	0.65***	0.70***	0.75***	0.49***	0.61***	0.16	0.33**	0.27	0.59***	0.32
27	0.51***	0.63***	0.53***	0.47***	0.60***	0.73***	0.64***	0.57***	0.58***	0.48***	*0.27*	0.57***	0.40***	0.50***	0.44***
28	*0.01*	*0.31*	0.36**	*0.32*	*0.10*	*0.30*	0.36**	0.34**	*0.07*	*0.24*	*0.18*	*0.10*	*−0.07*	*0.18*	*−0.09*
29	*0.26*	−0.44***	−0.56***	−0.59***	*−0.26*	−0.38**	*−0.44*	−0.50***	*−0.31*	−0.56***	−0.58***	−0.47***	−0.42***	−0.57***	−0.38***

Ordinal	16	17	18	19	20	21	22	23	24	25	26	27	28	29
Index	HSI.HI	TWII.TW	SENSEX.GI	PSI.GI	KLSE.GI	JKSE.GI	KS11.GI	STI.GI	AORD.GI	NZ50.GI	GSPTSE.GI	MXX.GI	IBOVESPA.GI	MERV.GI
1	0	0	0	0	0	0	0	0	0	0	0	0	0	0
2	0	0	0	0	0	0	0	0	0	0	0	0	0	0
3	0	0	0	0	0	0	0	0	0	0	0	0	0	0
4	0	0	0	0	0	0	0	0	0	0	0	0	0	0
5	0	0	0	0	0	0	0	0	0	0	0	0	0	0
6	0	0	0	0	0	0	0	0	0	0	0	0	0	0
7	0	0	0	0	0	0	0	0	0	0	0	0	0	0
8	0	0	0	0	0	0	0	0	0	0	0	0	0	0
9	0	0	0	0	0	0	0	0	0	0	0	0	0	0
10	0	0	0	0	0	0	0	0	0	0	0	0	0	0
11	0	0	0	0	0	0	0	0	0	0	0	0	0	0
12	0	0	0	0	0	0	0	0	0	0	0	0	0	0
13	0	0	0	0	0	0	0	0	0	0	0	0	0	0
14	0	0	0	0	0	0	0	0	0	0	0	0	0	0
15	0	0	0	0	0	0	0	0	0	0	0	0	0	0
16	0	0	0	0	0	0	0	0	0	0	0	0	0	0
17	0.67***	0	0	0	0	0	0	0	0	0	0	0	0	0
18	0.41***	0.34*	0	0	0	0	0	0	0	0	0	0	0	0
19	*0.20*	*0.32*	0.42***	0	0	0	0	0	0	0	0	0	0	0
20	0.52***	0.51***	0.67***	0.44***	0	0	0	0	0	0	0	0	0	0
21	*0.26*	*0.21*	0.56***	0.54***	0.61***	0	0	0	0	0	0	0	0	0
22	0.71***	0.68***	0.43***	*0.18*	0.66***	0.39***	0	0	0	0	0	0	0	0
23	0.67***	0.61***	0.48***	0.18	0.69***	0.47***	0.79***	0	0	0	0	0	0	0
24	0.71***	0.57***	0.35**	0.11	0.60***	0.33*	0.78***	0.75***	0	0	0	0	0	0
25	0.39***	0.38**	0.71***	0.54***	0.82***	0.70***	0.53***	0.56***	0.51***	0	0	0	0	0
26	0.67***	0.56***	0.42***	0.11	0.62***	0.32	0.76***	0.75***	0.76***	0.51***	0	0	0	0
27	0.46***	0.47***	0.63***	0.44***	0.72***	0.43***	0.46***	0.50***	0.39***	0.63***	0.53***	0	0	0
28	*0.32*	0.49***	*0.12*	*0.04*	*0.21*	*−0.08*	*0.28*	*0.32*	*0.19*	*0.09*	0.34*	0.34*	0	0
29	*−0.61*	−0.42***	*−0.32*	*−0.04*	−0.40***	*−0.27*	−0.63***	−0.60***	−0.71***	*−0.30*	−0.57***	*−0.26*	−0.18	0

1. The second stage is European debt crisis and other local crisis, which is the period during January 2, 2009 to December 31, 2014
2. The significant test for the spatiotemporal correlation coefficient of indices is Z test (the null hypothesis is that the spatiotemporal correlations are random), according to the existing literature (Otsuka and Saito 1965; Wangdi et al. 2021; Rodriguez-Villamizar et al. 2020). ***,**, and * represent significance at the 1%, 5%, and 10% level, respectively
3. Indices in developed stock markets include DJI.GI, FTSE.GI, FCHI.GI, GDAXI.GI, SSMI.GI, BFX.GI, AEX.GI, OSEAX.GI, ITLMS.GI, IBEX.GI, OMXS30.ST, TA100.GI, N225.GI, HSI.HI, STI.GI, AORD.GI, NZ50.GI and GSPTSE.GI. Correspondingly, indices in emerging stock markets involve 000001.SH, RTS.GI, TWII.TW, SENSEX.GI, PSI.GI, KLSE.GI, JKSE.GI, KS11.GI, MXX.GI, IBOVESPA.GI and MERV.GI

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