Table 3 Upper quantile directional... | Emerald Publishing

Table 3

Upper quantile directional return spillovers between equity markets in Africa and macroeconomic shock indexes (GPR, GEPU and FSI) $(τ = 0.95)$ ⁠, May 2007–April 2023

	CSE	EGX	JSE	NSE	NGX	DSE	GSE	GPR	GEPU	FSI	FROM
CSE	10.98	8.14	11.1	9.13	9.88	9.95	8.47	8.64	11.14	12.53	89.02
EGX	10.26	8.67	10.9	9.39	9.67	10.2	8.75	9.18	10.88	12.09	91.33
JSE	9.77	8.15	11.9	9.36	9.71	10.1	9.01	8.78	10.92	12.36	88.12
NSE	9.93	8.31	11.3	10.2	9.94	9.94	8.22	8.81	10.75	12.54	89.77
NGX	10.45	7.69	10.6	9.52	10.36	10.1	8.69	9.24	10.81	12.54	89.64
DSE	9.88	8.12	10.8	9.43	9.57	10.4	8.83	9.01	11.05	12.97	89.65
GSE	10.78	7.8	10.6	8.96	9.75	10.2	10.44	9.11	10.43	11.95	89.56
GPR	10.07	8.26	11.2	8.81	8.96	10.5	9.08	9.66	10.86	12.62	90.34
GEPU	9.76	8.15	11.5	9.29	9.45	10.3	8.69	8.78	11.32	12.78	88.68
FSI	10.05	7.97	11.2	9.2	9.22	10.3	8.72	8.75	10.79	13.89	86.11
TO	90.95	72.6	99.3	83.1	86.15	91.4	78.47	80.3	97.64	112.4	892.22
NET	1.93	−19	11.2	−6.7	−3.5	1.77	−11.1	−10	8.96	26.26	TCI = 89.22

	CSE	EGX	JSE	NSE	NGX	DSE	GSE	GPR	GEPU	FSI	FROM
CSE	10.98	8.14	11.1	9.13	9.88	9.95	8.47	8.64	11.14	12.53	89.02
EGX	10.26	8.67	10.9	9.39	9.67	10.2	8.75	9.18	10.88	12.09	91.33
JSE	9.77	8.15	11.9	9.36	9.71	10.1	9.01	8.78	10.92	12.36	88.12
NSE	9.93	8.31	11.3	10.2	9.94	9.94	8.22	8.81	10.75	12.54	89.77
NGX	10.45	7.69	10.6	9.52	10.36	10.1	8.69	9.24	10.81	12.54	89.64
DSE	9.88	8.12	10.8	9.43	9.57	10.4	8.83	9.01	11.05	12.97	89.65
GSE	10.78	7.8	10.6	8.96	9.75	10.2	10.44	9.11	10.43	11.95	89.56
GPR	10.07	8.26	11.2	8.81	8.96	10.5	9.08	9.66	10.86	12.62	90.34
GEPU	9.76	8.15	11.5	9.29	9.45	10.3	8.69	8.78	11.32	12.78	88.68
FSI	10.05	7.97	11.2	9.2	9.22	10.3	8.72	8.75	10.79	13.89	86.11
TO	90.95	72.6	99.3	83.1	86.15	91.4	78.47	80.3	97.64	112.4	892.22
NET	1.93	−19	11.2	−6.7	−3.5	1.77	−11.1	−10	8.96	26.26	TCI = 89.22

Source(s): Authors' own work