Table 2 Averaged dynamic connectedness:...

Table 2

Averaged dynamic connectedness: π = 5

	SET	SSEC	TOPIX	NASDAQ	VIX	WTI	FROM
The COVID-19 crisis period
SET	66.18	5.94	9.24	10.80	5.45	2.39	33.82
SET	(55.07, 11.12)	(4.87, 1.07)	(6.54, 2.71)	(7.81, 2.99)	(4.34, 1.10)	(1.78, 0.61)	(25.33, 8.49)
SSEC	7.08	73.62	5.77	7.88	4.21	1.43	26.38
SSEC	(6.20, 0.88)	(59.55, 14.07)	(5.01, 0.76)	(6.23, 1.65)	(3.50, 0.71)	(1.13, 0.30)	(22.08, 4.30)
TOPIX	7.56	5.04	65.36	15.56	4.87	1.61	34.64
TOPIX	(5.88, 1.68)	(4.33, 0.72)	(51.30, 14.07)	(11.32, 4.25)	(3.90, 0.97)	(1.23, 0.38)	(26.65, 7.99)
NASDAQ	8.75	3.92	6.28	65.84	12.58	2.64	34.16
NASDAQ	(8.43, 0.32)	(3.56, 0.36)	(5.30, 0.98)	(57.32, 8.52)	(11.53, 1.05)	(2.37, 0.27)	(31.19, 2.97)
VIX	4.63	2.88	3.04	14.86	73.41	1.18	26.59
VIX	(4.07, 0.57)	(2.45, 0.44)	(2.23, 0.81)	(13.53, 1.33)	(63.78, 9.63)	(1.07, 0.10)	(23.35, 3.24)
WTI	2.27	1.70	3.51	4.49	4.18	83.86	16.14
WTI	(1.84, 0.42)	(1.25, 0.45)	(3.23, 0.27)	(4.16, 0.33)	(4.06, 0.12)	(68.85, 15.01)	(14.55, 1.59)
TO	30.29	19.49	27.85	53.58	31.29	9.24	171.74
TO	(26.41, 3.88)	(16.46, 3.03)	(22.32, 5.53)	(43.05, 10.54)	(27.33, 3.95)	(7.58, 1.66)	(143.15, 28.59)
Inc.Own	96.47	93.11	93.21	119.42	104.69	93.10	TCI
Inc.Own	(81.48, 14.99)	(76.01, 17.10)	(73.61, 19.59)	(100.36, 19.06)	(91.11, 13.58)	(76.44, 16.66)
NET	−3.53	−6.89	−6.79	19.42	4.69	−6.90	28.62
NET	(1.08, −4.61)	(−5.62, −1.27)	(−4.33, −2.47)	(11.85, 7.57)	(3.98, 0.71)	(−6.97, 0.06)	(23.86, 4.76)
The cost-of-living crisis period
SET	83.75	3.00	5.74	5.45	1.07	0.99	16.25
SET	(67.08, 16.67)	(2.37, 0.64)	(4.17, 1.57)	(3.59, 1.86)	(0.91, 0.16)	(0.75, 0.24)	(11.79, 4.47)
SSEC	3.21	88.04	2.03	3.20	1.65	1.87	11.96
SSEC	(2.80, 0.41)	(70.32, 17.71)	(1.82, 0.21)	(2.60, 0.60)	(1.31, 0.33)	(1.28, 0.59)	(9.81, 2.15)
TOPIX	4.71	1.57	69.95	16.78	3.59	3.40	30.05
TOPIX	(3.73, 0.98)	(1.10, 0.47)	(57.30, 12.66)	(13.18, 3.60)	(3.11, 0.48)	(2.57, 0.83)	(23.69, 6.36)
NASDAQ	2.06	1.38	1.89	87.15	5.69	1.83	12.85
NASDAQ	(1.83, 0.23)	(1.08, 0.30)	(1.43, 0.46)	(70.98, 16.17)	(4.83, 0.86)	(1.63, 0.20)	(10.80, 2.05)
VIX	0.91	0.98	1.05	7.52	88.62	0.92	11.38
VIX	(0.83, 0.09)	(0.78, 0.20)	(0.93, 0.13)	(6.97, 0.55)	(74.02, 14.60)	(0.83, 0.09)	(10.32, 1.06)
WTI	1.11	1.04	1.00	1.96	0.76	94.14	5.86
WTI	(0.84, 0.26)	(0.75, 0.28)	(0.71, 0.28)	(1.42, 0.53)	(0.62, 0.14)	(73.89, 20.25)	(4.36, 1.50)
TO	12.00	7.97	11.71	34.90	12.76	9.01	88.36
TO	(10.03, 1.97)	(6.08, 1.89)	(9.06, 2.65)	(27.76, 7.14)	(10.79, 1.97)	(7.05, 1.96)	(70.77, 17.59)
Inc.Own	95.75	96.00	81.67	122.05	101.38	103.15	TCI
Inc.Own	(77.11, 18.64)	(76.40, 19.60)	(66.35, 15.31)	(98.74, 23.32)	(84.81, 16.57)	(80.94, 22.21)
NET	−4.25	−4.00	−18.33	22.05	1.38	3.15	14.73
NET	(−1.76, −2.49)	(−3.73, −0.26)	(−14.63, −3.70)	(16.96, 5.09)	(0.47, 0.91)	(2.69, 0.46)	(11.79, 2.93)

	SET	SSEC	TOPIX	NASDAQ	VIX	WTI	FROM
The COVID-19 crisis period
SET	66.18	5.94	9.24	10.80	5.45	2.39	33.82
SET	(55.07, 11.12)	(4.87, 1.07)	(6.54, 2.71)	(7.81, 2.99)	(4.34, 1.10)	(1.78, 0.61)	(25.33, 8.49)
SSEC	7.08	73.62	5.77	7.88	4.21	1.43	26.38
SSEC	(6.20, 0.88)	(59.55, 14.07)	(5.01, 0.76)	(6.23, 1.65)	(3.50, 0.71)	(1.13, 0.30)	(22.08, 4.30)
TOPIX	7.56	5.04	65.36	15.56	4.87	1.61	34.64
TOPIX	(5.88, 1.68)	(4.33, 0.72)	(51.30, 14.07)	(11.32, 4.25)	(3.90, 0.97)	(1.23, 0.38)	(26.65, 7.99)
NASDAQ	8.75	3.92	6.28	65.84	12.58	2.64	34.16
NASDAQ	(8.43, 0.32)	(3.56, 0.36)	(5.30, 0.98)	(57.32, 8.52)	(11.53, 1.05)	(2.37, 0.27)	(31.19, 2.97)
VIX	4.63	2.88	3.04	14.86	73.41	1.18	26.59
VIX	(4.07, 0.57)	(2.45, 0.44)	(2.23, 0.81)	(13.53, 1.33)	(63.78, 9.63)	(1.07, 0.10)	(23.35, 3.24)
WTI	2.27	1.70	3.51	4.49	4.18	83.86	16.14
WTI	(1.84, 0.42)	(1.25, 0.45)	(3.23, 0.27)	(4.16, 0.33)	(4.06, 0.12)	(68.85, 15.01)	(14.55, 1.59)
TO	30.29	19.49	27.85	53.58	31.29	9.24	171.74
TO	(26.41, 3.88)	(16.46, 3.03)	(22.32, 5.53)	(43.05, 10.54)	(27.33, 3.95)	(7.58, 1.66)	(143.15, 28.59)
Inc.Own	96.47	93.11	93.21	119.42	104.69	93.10	TCI
Inc.Own	(81.48, 14.99)	(76.01, 17.10)	(73.61, 19.59)	(100.36, 19.06)	(91.11, 13.58)	(76.44, 16.66)
NET	−3.53	−6.89	−6.79	19.42	4.69	−6.90	28.62
NET	(1.08, −4.61)	(−5.62, −1.27)	(−4.33, −2.47)	(11.85, 7.57)	(3.98, 0.71)	(−6.97, 0.06)	(23.86, 4.76)
The cost-of-living crisis period
SET	83.75	3.00	5.74	5.45	1.07	0.99	16.25
SET	(67.08, 16.67)	(2.37, 0.64)	(4.17, 1.57)	(3.59, 1.86)	(0.91, 0.16)	(0.75, 0.24)	(11.79, 4.47)
SSEC	3.21	88.04	2.03	3.20	1.65	1.87	11.96
SSEC	(2.80, 0.41)	(70.32, 17.71)	(1.82, 0.21)	(2.60, 0.60)	(1.31, 0.33)	(1.28, 0.59)	(9.81, 2.15)
TOPIX	4.71	1.57	69.95	16.78	3.59	3.40	30.05
TOPIX	(3.73, 0.98)	(1.10, 0.47)	(57.30, 12.66)	(13.18, 3.60)	(3.11, 0.48)	(2.57, 0.83)	(23.69, 6.36)
NASDAQ	2.06	1.38	1.89	87.15	5.69	1.83	12.85
NASDAQ	(1.83, 0.23)	(1.08, 0.30)	(1.43, 0.46)	(70.98, 16.17)	(4.83, 0.86)	(1.63, 0.20)	(10.80, 2.05)
VIX	0.91	0.98	1.05	7.52	88.62	0.92	11.38
VIX	(0.83, 0.09)	(0.78, 0.20)	(0.93, 0.13)	(6.97, 0.55)	(74.02, 14.60)	(0.83, 0.09)	(10.32, 1.06)
WTI	1.11	1.04	1.00	1.96	0.76	94.14	5.86
WTI	(0.84, 0.26)	(0.75, 0.28)	(0.71, 0.28)	(1.42, 0.53)	(0.62, 0.14)	(73.89, 20.25)	(4.36, 1.50)
TO	12.00	7.97	11.71	34.90	12.76	9.01	88.36
TO	(10.03, 1.97)	(6.08, 1.89)	(9.06, 2.65)	(27.76, 7.14)	(10.79, 1.97)	(7.05, 1.96)	(70.77, 17.59)
Inc.Own	95.75	96.00	81.67	122.05	101.38	103.15	TCI
Inc.Own	(77.11, 18.64)	(76.40, 19.60)	(66.35, 15.31)	(98.74, 23.32)	(84.81, 16.57)	(80.94, 22.21)
NET	−4.25	−4.00	−18.33	22.05	1.38	3.15	14.73
NET	(−1.76, −2.49)	(−3.73, −0.26)	(−14.63, −3.70)	(16.96, 5.09)	(0.47, 0.91)	(2.69, 0.46)	(11.79, 2.93)

Note(s): The values in parentheses indicate short-run connection (1–5 days) and long-run connectedness (5 to infinite days), respectively

[ViewLarge]

Sharing Unavailable