Table 3 Volatility spillover... | Emerald Publishing

Table 3

Volatility spillover connectedness

Variables	∆ln(S&P GB)	∆ln(Global 1200 ESG)	∆ln(S&P 500 ESG)	∆ln(Canada ESG)	∆ln(ASX 200 ESG)	∆ln(Japan 500 ESG)	∆ln(Korea ESG)	FROM others
∆ln(S&P GB)	66.50	6.69	4.74	7.26	9.11	3.37	2.33	33.50
∆ln(Global 1200 ESG)	2.63	31.87	29.35	20.35	7.02	3.83	4.96	68.13
∆ln(S&P 500 ESG)	1.86	31.31	38.62	18.04	3.98	2.91	3.28	61.38
∆ln(Canada ESG)	4.07	21.97	16.98	38.78	10.22	3.08	4.90	61.22
∆ln(ASX 200 ESG)	7.05	16.56	10.66	17.77	36.38	5.01	6.57	63.62
∆ln(Japan 500 ESG)	4.94	20.43	13.87	11.37	8.39	31.69	9.30	68.31
∆ln(Korea ESG)	4.51	13.41	7.40	9.30	9.94	7.10	48.33	51.67
TO others	25.07	110.37	83.00	84.08	48.66	25.30	31.34	407.81
NET	−8.43	42.24	21.62	22.86	−14.96	−43.00	−20.33	TCI
								58.26

Variables	∆ln(S&P GB)	∆ln(Global 1200 ESG)	∆ln(S&P 500 ESG)	∆ln(Canada ESG)	∆ln(ASX 200 ESG)	∆ln(Japan 500 ESG)	∆ln(Korea ESG)	FROM others
∆ln(S&P GB)	66.50	6.69	4.74	7.26	9.11	3.37	2.33	33.50
∆ln(Global 1200 ESG)	2.63	31.87	29.35	20.35	7.02	3.83	4.96	68.13
∆ln(S&P 500 ESG)	1.86	31.31	38.62	18.04	3.98	2.91	3.28	61.38
∆ln(Canada ESG)	4.07	21.97	16.98	38.78	10.22	3.08	4.90	61.22
∆ln(ASX 200 ESG)	7.05	16.56	10.66	17.77	36.38	5.01	6.57	63.62
∆ln(Japan 500 ESG)	4.94	20.43	13.87	11.37	8.39	31.69	9.30	68.31
∆ln(Korea ESG)	4.51	13.41	7.40	9.30	9.94	7.10	48.33	51.67
TO others	25.07	110.37	83.00	84.08	48.66	25.30	31.34	407.81
NET	−8.43	42.24	21.62	22.86	−14.96	−43.00	−20.33	TCI
								58.26

Note(s): The table presents the pairwise directional connectedness between GB and ESG indices. The “TO others” row and the “FROM others” column correspond to the total directional connectedness to others, and the total directional connectedness from others, respectively. The labels NET and TCI relate to the net directional connectedness and total connectedness index, respectively. ∆ln refers to natural logarithm returns as the first difference of the variables. All the values are in percentage (%) form

Source(s): Estimated by authors

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