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

Schedule 8 Time series 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	1	0	0	0	0	0	0	0	0	0	0	0	0	0	0
2	−0.51***	1	0	0	0	0	0	0	0	0	0	0	0	0	0
3	0.94***	−0.37***	1	0	0	0	0	0	0	0	0	0	0	0	0
4	0.72***	−0.03***	0.81***	1	0	0	0	0	0	0	0	0	0	0	0
5	0.97***	−0.44***	0.95***	0.84***	1	0	0	0	0	0	0	0	0	0	0
6	0.91***	−0.35***	0.9***	0.87***	0.94***	1	0	0	0	0	0	0	0	0	0
7	0.81***	−0.09***	0.86***	0.96***	0.89***	0.92***	1	0	0	0	0	0	0	0	0
8	0.88***	−0.21***	0.94***	0.93***	0.94***	0.93***	0.97***	1	0	0	0	0	0	0	0
9	0.97***	−0.42***	0.95***	0.81***	0.98***	0.91***	0.88***	0.93***	1	0	0	0	0	0	0
10	0.03	0.52***	0.17***	0.68***	0.21***	0.31***	0.57***	0.43***	0.19***	1	0	0	0	0	0
11	0.01	0.58***	0.14***	0.63***	0.17***	0.28***	0.53***	0.39***	0.17***	0.96***	1	0	0	0	0
12	0.94***	−0.31***	0.96***	0.86***	0.97***	0.93***	0.93***	0.97***	0.97***	0.26***	0.24***	1	0	0	0
13	0.12***	0.25***	0.36***	0.23***	0.15***	−0.01	0.19***	0.29***	0.2***	0.14***	0.13***	0.25***	1	0	0
14	0.79***	−0.04	0.88***	0.84***	0.84***	0.79***	0.9***	0.93***	0.86***	0.41***	0.4***	0.91***	0.48***	1	0
15	0.84***	−0.29***	0.78***	0.82***	0.87***	0.94***	0.86***	0.83***	0.83***	0.33***	0.32***	0.84***	−0.16***	0.68***	1
16	0.68***	0.11***	0.82***	0.82***	0.75***	0.72***	0.84***	0.86***	0.76***	0.46***	0.46***	0.83***	0.57***	0.9***	0.6***
17	0.73***	0.06**	0.84***	0.83***	0.79***	0.72***	0.87***	0.88***	0.82***	0.46***	0.46***	0.87***	0.55***	0.95***	0.64***
18	0.87***	−0.16***	0.86***	0.81***	0.89***	0.87***	0.91***	0.92***	0.92***	0.32***	0.34***	0.93***	0.2***	0.9***	0.8***
19	0.96***	−0.58***	0.91***	0.6***	0.91***	0.85***	0.71***	0.79***	0.91***	−0.14***	−0.15***	0.89***	0.11***	0.71***	0.76***
20	0.95***	−0.49***	0.96***	0.67***	0.93***	0.82***	0.76***	0.86***	0.94***	−0.02	−0.04*	0.93***	0.33***	0.83***	0.71***
21	0.94***	−0.49***	0.92***	0.58***	0.88***	0.78***	0.7***	0.79***	0.9***	−0.13***	−0.14***	0.89***	0.3***	0.78***	0.66***
22	0.75***	−0.19***	0.85***	0.59***	0.75***	0.58***	0.65***	0.76***	0.77***	0.05**	0.05*	0.8***	0.69***	0.83***	0.43***
23	0.79***	−0.12***	0.9***	0.72***	0.8***	0.74***	0.79***	0.86***	0.82***	0.19***	0.18***	0.88***	0.58***	0.9***	0.59***
24	0.83***	−0.11***	0.9***	0.94***	0.89***	0.92***	0.96***	0.96***	0.89***	0.5***	0.48***	0.92***	0.29***	0.91***	0.84***
25	0.96***	−0.5***	0.89***	0.75***	0.96***	0.95***	0.84***	0.86***	0.94***	0.11***	0.09***	0.91***	−0.06**	0.73***	0.91***
26	0.85***	−0.15***	0.9***	0.82***	0.88***	0.79***	0.89***	0.92***	0.92***	0.35***	0.35***	0.93***	0.43***	0.94***	0.7***
27	0.9***	−0.42***	0.92***	0.59***	0.85***	0.77***	0.69***	0.81***	0.88***	−0.09***	−0.1***	0.87***	0.4***	0.8***	0.61***
28	−0.17***	0.6***	0.08***	0.16***	−0.11***	−0.12***	0.13***	0.15***	−0.04	0.39***	0.41***	0.05**	0.74***	0.34***	−0.28***
29	0.83***	−0.27***	0.73***	0.74***	0.84***	0.84***	0.84***	0.81***	0.87***	0.3***	0.32***	0.84***	−0.09***	0.73***	0.85***

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	1	0	0	0	0	0	0	0	0	0	0	0	0	0
17	0.92***	1	0	0	0	0	0	0	0	0	0	0	0	0
18	0.83***	0.88***	1	0	0	0	0	0	0	0	0	0	0	0
19	0.63***	0.65***	0.81***	1	0	0	0	0	0	0	0	0	0	0
20	0.75***	0.78***	0.84***	0.95***	1	0	0	0	0	0	0	0	0	0
21	0.7***	0.74***	0.83***	0.97***	0.97***	1	0	0	0	0	0	0	0	0
22	0.83***	0.85***	0.73***	0.74***	0.86***	0.85***	1	0	0	0	0	0	0	0
23	0.92***	0.9***	0.84***	0.79***	0.88***	0.87***	0.91***	1	0	0	0	0	0	0
24	0.88***	0.88***	0.88***	0.74***	0.8***	0.74***	0.71***	0.84***	1	0	0	0	0	0
25	0.63***	0.67***	0.86***	0.93***	0.88***	0.86***	0.6***	0.7***	0.84***	1	0	0	0	0
26	0.86***	0.94***	0.92***	0.76***	0.86***	0.83***	0.85***	0.86***	0.89***	0.79***	1	0	0	0
27	0.76***	0.75***	0.82***	0.92***	0.95***	0.95***	0.87***	0.9***	0.76***	0.8***	0.82***	1	0	0
28	0.48***	0.4***	0.14***	−0.19***	0	−0.03	0.36***	0.38***	0.17***	−0.29***	0.23***	0.13***	1	0
29	0.59***	0.69***	0.89***	0.74***	0.72***	0.7***	0.51***	0.58***	0.77***	0.87***	0.82***	0.64***	−0.16***	1

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. ***,**,* represent the significance levels at1%,5% and 10%, 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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