Table 1 Transfer entropy between the US...

Table 1

Transfer entropy between the US and European stock markets

USA→ European		$T_{U S \to X} (k, l)$	Support/Reject	European → USA		$T_{X \to U S} (k, l)$	Support/Reject
USA→ Austria	Shannon	0.132***	Support	Austria → USA	Shannon	0.119*	Support
USA→ Austria	Renyi	1.212*	Support	Austria → USA	Renyi	1.188*	Support
USA → Belgium	Shannon	0.176***	Support	Belgium → USA	Shannon	0.125***	Support
USA → Belgium	Renyi	1.243***	Support	Belgium → USA	Renyi	1.207***	Support
USA → France	Shannon	0.157***	Support	France → USA	Shannon	0.102	Reject
USA → France	Renyi	0.589**	Support	France → USA	Renyi	0.494	Reject
USA → Germany	Shannon	0.117*	Support	Germany → USA	Shannon	0.089	Reject
USA → Germany	Renyi	1.035	Reject	Germany → USA	Renyi	1.086	Reject
USA → Netherland	Shannon	0.124**	Support	Netherland → USA	Shannon	0.092	Reject
USA → Netherland	Renyi	0.942	Reject	Netherland → USA	Renyi	1.038	Reject
USA → Poland	Shannon	0.120	Reject	Poland → USA	Shannon	0.096	Reject
USA → Poland	Renyi	1.169**	Support	Poland → USA	Renyi	1.139*	Support
USA → Portugal	Shannon	0.135*	Support	Portugal → USA	Shannon	0.103	Reject
USA → Portugal	Renyi	1.226*	Support	Portugal → USA	Renyi	1.205**	Support
USA → Spain	Shannon	0.157***	Support	Spain → USA	Shannon	0.102	Reject
USA → Spain	Renyi	1.176	Reject	Spain → USA	Renyi	1.153	Reject
USA → Switzerland	Shannon	0.142***	Support	Switzerland → USA	Shannon	0.117***	Support
USA → Switzerland	Renyi	1.120	Reject	Switzerland → USA	Renyi	1.129*	Support
USA → UK	Shannon	0.136***	Support	UK → USA	Shannon	0.103	Reject
USA → UK	Renyi	0.266	Reject	UK → USA	Renyi	0.231	Reject

USA→ European		$T_{U S \to X} (k, l)$	Support/Reject	European → USA		$T_{X \to U S} (k, l)$	Support/Reject
USA→ Austria	Shannon	0.132***	Support	Austria → USA	Shannon	0.119*	Support
USA→ Austria	Renyi	1.212*	Support	Austria → USA	Renyi	1.188*	Support
USA → Belgium	Shannon	0.176***	Support	Belgium → USA	Shannon	0.125***	Support
USA → Belgium	Renyi	1.243***	Support	Belgium → USA	Renyi	1.207***	Support
USA → France	Shannon	0.157***	Support	France → USA	Shannon	0.102	Reject
USA → France	Renyi	0.589**	Support	France → USA	Renyi	0.494	Reject
USA → Germany	Shannon	0.117*	Support	Germany → USA	Shannon	0.089	Reject
USA → Germany	Renyi	1.035	Reject	Germany → USA	Renyi	1.086	Reject
USA → Netherland	Shannon	0.124**	Support	Netherland → USA	Shannon	0.092	Reject
USA → Netherland	Renyi	0.942	Reject	Netherland → USA	Renyi	1.038	Reject
USA → Poland	Shannon	0.120	Reject	Poland → USA	Shannon	0.096	Reject
USA → Poland	Renyi	1.169**	Support	Poland → USA	Renyi	1.139*	Support
USA → Portugal	Shannon	0.135*	Support	Portugal → USA	Shannon	0.103	Reject
USA → Portugal	Renyi	1.226*	Support	Portugal → USA	Renyi	1.205**	Support
USA → Spain	Shannon	0.157***	Support	Spain → USA	Shannon	0.102	Reject
USA → Spain	Renyi	1.176	Reject	Spain → USA	Renyi	1.153	Reject
USA → Switzerland	Shannon	0.142***	Support	Switzerland → USA	Shannon	0.117***	Support
USA → Switzerland	Renyi	1.120	Reject	Switzerland → USA	Renyi	1.129*	Support
USA → UK	Shannon	0.136***	Support	UK → USA	Shannon	0.103	Reject
USA → UK	Renyi	0.266	Reject	UK → USA	Renyi	0.231	Reject

Note(s):

p-values: *,**,***: statistically significant at 10%, 5% and 1%, respectively

Shannon: q = 0.1, shuffles = 2000, nboot = 1,000

Renyi: q = 0.1, shuffles = 2000, nboot = 1,000

Source(s): Estimated by authors

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