Financial Innovation

Table 3 Average connectedness results for S&P 500 sectoral returns

From: Interlinkages across US sectoral returns: time-varying interconnectedness and hedging effectiveness

	IND	UTI	EN	MAT	CS	HC	FIN	IT	RE	FROM
IND	20.48	6	8.16	15.83	8.54	8.27	15.15	8.81	8.75	79.52
UTI	8.45	30.68	3.2	7.49	14.58	9.8	6.69	5.28	13.84	69.32
EN	13.14	3.65	37.79	12.52	4.2	4.19	14.85	4.8	4.86	62.21
MAT	16.72	5.63	8.08	21.66	8.17	8.61	14.32	8.78	8.04	78.34
CS	10.51	12.48	3.18	9.54	25.77	11.94	8.08	7.91	10.59	74.23
HC	9.99	8.5	3.07	9.92	12.04	26.36	8.42	11.39	10.3	73.64
FIN	16.73	5.23	10.25	15	7.21	7.65	22.77	7.59	7.57	77.23
IT	11.32	4.81	3.72	10.7	9	12.21	8.87	28.89	10.49	71.11
RE	10.52	11.74	3.68	9.13	10.65	10.22	8.26	9.62	26.17	73.83
TO	97.39	58.04	43.33	90.12	74.4	72.9	84.64	64.19	74.42	659.43
NET	17.87	− 11.28	− 18.88	11.78	0.17	− 0.74	7.41	− 6.93	0.6	TCI = 73.27

Positive
	IND	UTI	EN	MAT	CS	HC	FIN	IT	RE	FROM
IND	22.65	6.43	7.11	16.32	7.42	7.62	15.86	8.48	8.13	77.35
UTI	8.25	31.29	2.59	7.59	14.19	9.71	6.6	5.9	13.89	68.71
EN	12.34	3.82	42	11.24	3.34	3.58	15.01	4.39	4.27	58
MAT	17.1	6.3	6.73	23.71	7.54	8.57	13.92	8.61	7.52	76.29
CS	9.39	13.07	2.35	8.96	29.37	11.4	7.19	7.75	10.52	70.63
HC	9.42	9.54	2.37	9.99	11.3	28.96	7.43	11.06	9.91	71.04
FIN	17.66	5.7	9.56	14.75	6.29	6.69	25.1	7.35	6.9	74.9
IT	10.68	5.58	2.86	10.47	7.93	11.92	8.33	32.44	9.8	67.56
RE	9.79	12.29	2.92	8.69	10.25	9.65	7.71	9.37	29.33	70.67
TO	94.64	62.72	36.47	88.01	68.27	69.12	82.05	62.92	70.94	635.15
NET	17.28	− 5.99	− 21.53	11.73	− 2.36	− 1.91	7.15	− 4.65	0.28	TCI = 70.57

Negative
	IND	UTI	EN	MAT	CS	HC	FIN	IT	RE	FROM
IND	19.79	6.24	7.6	14.85	9.33	9.23	14.13	9.1	9.73	80.21
UTI	9.41	29.81	3.85	8.26	12.51	9.7	7.47	5.96	13.04	70.19
EN	12.2	3.95	36.62	12.18	5.43	5.32	12.83	5.4	6.06	63.38
MAT	16.02	5.82	8	21.33	8.37	9.3	13.82	8.8	8.54	78.67
CS	11.53	10.56	4.15	9.63	24.19	11.82	9.11	8.75	10.26	75.81
HC	10.99	7.93	4.14	10.45	11.34	24.06	10.04	10.57	10.49	75.94
FIN	15.5	5.48	8.78	14.16	8.15	9	21.57	8.44	8.9	78.43
IT	11.46	5.05	4.34	10.5	9.29	11.61	9.73	27.46	10.56	72.54
RE	11.89	10.11	4.76	9.75	9.7	9.89	9.82	9.74	24.34	75.66
TO	99	55.14	45.61	89.78	74.12	75.88	86.95	66.75	77.59	670.81
NET	18.78	− 15.05	− 17.76	11.11	− 1.69	− 0.06	8.52	− 5.79	1.93	TCI = 74.53

Results are estimated using the TVP-VAR model with lag 1 (BIC) and 20-step ahead forecast error variance decomposition (FEVD)

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