Correlation coefficient between the variables during first and second waves
| VIX | S&P 500 | EPU | BSE | CC | DC | |
|---|---|---|---|---|---|---|
| First wave | ||||||
| VIX | 1 | |||||
| S&P 500 | −0.62 | 1 | ||||
| EPU | −0.07 | 0.05 | 1 | |||
| BSE | −0.04 | 0.03 | 0.90 | 1 | ||
| CC | −0.02 | 0.06 | 0.80 | 0.70 | 1 | |
| DC | −0.05 | 0.09 | 0.78 | 0.68 | 0.98 | 1 |
| Second wave | ||||||
| VIX | 1 | |||||
| S&P 500 | −0.69 | 1 | ||||
| EPU | 0.12 | −0.08 | 1 | |||
| BSE | 0.17 | −0.09 | 0.88 | 1 | ||
| CC | 0.04 | −0.01 | 0.76 | 0.68 | 1 | |
| DC | 0.00 | 0.01 | 0.75 | 0.66 | 0.97 | 1 |
| VIX | S&P 500 | EPU | BSE | CC | DC | |
|---|---|---|---|---|---|---|
| VIX | 1 | |||||
| S&P 500 | −0.62 | 1 | ||||
| EPU | −0.07 | 0.05 | 1 | |||
| BSE | −0.04 | 0.03 | 0.90 | 1 | ||
| CC | −0.02 | 0.06 | 0.80 | 0.70 | 1 | |
| DC | −0.05 | 0.09 | 0.78 | 0.68 | 0.98 | 1 |
| VIX | 1 | |||||
| S&P 500 | −0.69 | 1 | ||||
| EPU | 0.12 | −0.08 | 1 | |||
| BSE | 0.17 | −0.09 | 0.88 | 1 | ||
| CC | 0.04 | −0.01 | 0.76 | 0.68 | 1 | |
| DC | 0.00 | 0.01 | 0.75 | 0.66 | 0.97 | 1 |
Source(s): Author’s computation
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