Table 5 Role of uncertainty factors (1)...

Table 5

Role of uncertainty factors

	(1)	(2)	(3)
Variables	Overall (TCI)	Short-term (TCI)	Long-term (TCI)
Panel A: VIX
VIX	0.444***	0.121***	0.657***
VIX	(0.021)	(0.020)	(0.024)
Constant	24.076***	18.612***	27.803***
Constant	(0.491)	(0.460)	(0.557)
R-squared	0.274	0.031	0.392
Adjusted R-squared	0.274	0.030	0.392
Panel B: OVX
OVX	0.153***	0.058***	0.201***
OVX	(0.007)	(0.006)	(0.008)
Constant	26.889***	18.645***	33.094***
Constant	(0.361)	(0.336)	(0.436)
R-squared	0.285	0.062	0.324
Adjusted R-squared	0.285	0.061	0.323
Panel C: GVZ
OVX	0.153***	0.058***	0.201***
OVX	(0.007)	(0.006)	(0.008)
Constant	26.889***	18.645***	33.094***
Constant	(0.361)	(0.336)	(0.436)
R-squared	0.285	0.062	0.324
Adjusted R-squared	0.285	0.061	0.323
GVZ	0.530***	−0.015	1.031***
GVZ	(0.039)	(0.034)	(0.042)
Constant	24.901***	21.520***	24.881***
Constant	(0.682)	(0.594)	(0.742)
R-squared	0.135	0.000	0.333
Adjusted R-squared	0.134	−0.001	0.332
Panel D: GPR
GPR	0.014***	0.025***	−0.013***
GPR	(0.003)	(0.003)	(0.004)
Constant	32.166***	18.366***	43.759***
Constant	(0.426)	(0.335)	(0.530)
R-squared	0.016	0.075	0.009
Adjusted R-squared	0.015	0.074	0.008
Panel E: EPU
EPU	0.025***	0.001***	0.047***
EPU	(0.002)	(0.001)	(0.002)
Constant	29.825***	21.068***	34.806***
Constant	(0.328)	(0.290)	(0.357)
R-squared	0.155	0.001	0.350
Adjusted R-squared	0.155	−0.000	0.349
Panel F: RAI
RAI	1.819***	0.373***	2.676***
RAI	(0.138)	(0.119)	(0.167)
Constant	28.013***	20.087***	33.676***
Constant	(0.483)	(0.417)	(0.581)
R-squared	0.128	0.008	0.179
Adjusted R-squared	0.127	0.007	0.179

	(1)	(2)	(3)
Variables	Overall (TCI)	Short-term (TCI)	Long-term (TCI)
Panel A: VIX
VIX	0.444***	0.121***	0.657***
VIX	(0.021)	(0.020)	(0.024)
Constant	24.076***	18.612***	27.803***
Constant	(0.491)	(0.460)	(0.557)
R-squared	0.274	0.031	0.392
Adjusted R-squared	0.274	0.030	0.392
Panel B: OVX
OVX	0.153***	0.058***	0.201***
OVX	(0.007)	(0.006)	(0.008)
Constant	26.889***	18.645***	33.094***
Constant	(0.361)	(0.336)	(0.436)
R-squared	0.285	0.062	0.324
Adjusted R-squared	0.285	0.061	0.323
Panel C: GVZ
OVX	0.153***	0.058***	0.201***
OVX	(0.007)	(0.006)	(0.008)
Constant	26.889***	18.645***	33.094***
Constant	(0.361)	(0.336)	(0.436)
R-squared	0.285	0.062	0.324
Adjusted R-squared	0.285	0.061	0.323
GVZ	0.530***	−0.015	1.031***
GVZ	(0.039)	(0.034)	(0.042)
Constant	24.901***	21.520***	24.881***
Constant	(0.682)	(0.594)	(0.742)
R-squared	0.135	0.000	0.333
Adjusted R-squared	0.134	−0.001	0.332
Panel D: GPR
GPR	0.014***	0.025***	−0.013***
GPR	(0.003)	(0.003)	(0.004)
Constant	32.166***	18.366***	43.759***
Constant	(0.426)	(0.335)	(0.530)
R-squared	0.016	0.075	0.009
Adjusted R-squared	0.015	0.074	0.008
Panel E: EPU
EPU	0.025***	0.001***	0.047***
EPU	(0.002)	(0.001)	(0.002)
Constant	29.825***	21.068***	34.806***
Constant	(0.328)	(0.290)	(0.357)
R-squared	0.155	0.001	0.350
Adjusted R-squared	0.155	−0.000	0.349
Panel F: RAI
RAI	1.819***	0.373***	2.676***
RAI	(0.138)	(0.119)	(0.167)
Constant	28.013***	20.087***	33.676***
Constant	(0.483)	(0.417)	(0.581)
R-squared	0.128	0.008	0.179
Adjusted R-squared	0.127	0.007	0.179

Note(s): This table presents the results for the impact of global factors on the connectedness. Panels A to F shows the findings for VIX, OVX, GVZ, GPR, EPU and RAI as independent variable using respective TCI values as dependent variable estimated above section. All models are estimated using the OLS estimator with 1,193 observations. Standard errors are in parentheses. ***, **, * denote significance at 1%, 5% and 10% significance level

Source(s): Table by authors

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