Table 5 Cross-region comparison of...

Table 5

Cross-region comparison of volatility–return linkages in crisis windows (WTC summary)

Index	GFC 2007_2009	Euro debt 2010_2012	China selloff 2015_16	COVID 2020	Ukraine energy 2022_23
DJICA	H–L–AP	H–L–AP	H–S–IP	H–M–Mixed	H–L–AP
DJICHKU	NA–NA–NA	H–L–AP	H–L–AP	H–M–Mixed	H–M–IP
DJIJP	H–L–Mixed	H–M–AP	H–S–Mixed	H–M–Mixed	H–M–IP
DJIMIND	NA–NA–NA	H–L–Mixed	H–M–AP	H–M–AP	H–L–AP
DJIMKW	H–L–Mixed	H–L–AP	H–L–AP	H–M–AP	H–L–AP
DJMY25D	NA–NA–NA	H–S–AP	H–L–Mixed	H–L–AP	H–S–IP
DJIMTR	H–L–AP	H–S–AP	H–S–Mixed	H–M–AP	H–M–Mixed
DJIUK	H–L–AP	H–L–AP	H–L–Mixed	H–L–AP	H–S–IP
IMUS	H–L–AP	H–L–AP	H–L–Mixed	H–L–AP	H–M–AP

Index	GFC 2007_2009	Euro debt 2010_2012	China selloff 2015_16	COVID 2020	Ukraine energy 2022_23
DJICA	H–L–AP	H–L–AP	H–S–IP	H–M–Mixed	H–L–AP
DJICHKU	NA–NA–NA	H–L–AP	H–L–AP	H–M–Mixed	H–M–IP
DJIJP	H–L–Mixed	H–M–AP	H–S–Mixed	H–M–Mixed	H–M–IP
DJIMIND	NA–NA–NA	H–L–Mixed	H–M–AP	H–M–AP	H–L–AP
DJIMKW	H–L–Mixed	H–L–AP	H–L–AP	H–M–AP	H–L–AP
DJMY25D	NA–NA–NA	H–S–AP	H–L–Mixed	H–L–AP	H–S–IP
DJIMTR	H–L–AP	H–S–AP	H–S–Mixed	H–M–AP	H–M–Mixed
DJIUK	H–L–AP	H–L–AP	H–L–Mixed	H–L–AP	H–S–IP
IMUS	H–L–AP	H–L–AP	H–L–Mixed	H–L–AP	H–M–AP

Note(s): Each cell reports Strength-Horizon-Phase for the volatility-return relationship within the relevant crisis window. Strength is coded as H (high), M (medium), L (low), and NA (no significant coherence). Horizon refers to the dominant period band: S (2–16 trading days), M (16–64), and L (64–256). Phase indicates IP (in-phase), AP (anti-phase), or Mixed

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