Table 2. Static connectedness based on...

Table 2.

Static connectedness based on generalized FEVD

Series	CPU	MY_GS	ID_GS	ID_STOCK	MY_STOCK	FROM
CPU	95.40	3.02	1.08	0.01	0.49	0.92
MY_GS	0.98	91.18	0.96	0.71	6.16	1.76
ID_GS	0.86	0.53	88.20	6.24	4.17	2.36
ID_STOCK	0.05	0.29	4.41	78.99	16.27	4.20
MY_STOCK	0.52	5.20	1.74	16.07	76.47	4.71
TO	0.48	1.81	1.64	4.60	5.42	TCI = 13.95

Series	CPU	MY_GS	ID_GS	ID_STOCK	MY_STOCK	FROM
CPU	95.40	3.02	1.08	0.01	0.49	0.92
MY_GS	0.98	91.18	0.96	0.71	6.16	1.76
ID_GS	0.86	0.53	88.20	6.24	4.17	2.36
ID_STOCK	0.05	0.29	4.41	78.99	16.27	4.20
MY_STOCK	0.52	5.20	1.74	16.07	76.47	4.71
TO	0.48	1.81	1.64	4.60	5.42	TCI = 13.95

Note(s):

Static Diebold and Yilmaz connectedness based on generalized forecast error variance decomposition (H = 10) for CPU, Malaysian and Indonesian green sukuk (MY_GS, ID_GS) and equity indices (ID_STOCK, MY_STOCK). Diagonal elements report own variance shares, off diagonal elements report spillovers across variables. FROM and TO summarize directional spillovers, and the bottom right entry reports the total connectedness index (TCI)

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