Table 5. Dynamic connectedness using BK...

Table 5.

Dynamic connectedness using BK test (2018) during the COVID-19 outbreak

	RCOWTI	RBRL	RMXN	RZAR	RTRY	RGBP	FROM_ABS
Frequency 1: short run (1 day to 10 days)
RCOWTI	66.51	0.87	3.37	1.32	0.12	0.96	1.11
RBRL	0.60	46.37	11.04	10.91	0.52	3.12	4.37
RMXN	1.15	8.95	34.23	16.93	0.80	6.64	5.74
RZAR	0.72	8.90	18.80	37.78	1.42	6.23	6.01
RTRY	0.37	0.59	1.60	2.23	62.18	0.46	0.87
RGBP	0.49	3.01	7.62	6.46	0.42	44.03	3.00
TO_ABS	0.56	3.72	7.07	6.31	0.55	2.90	21.10
NET	−0.55	−0.65	1.67	0.30	−0.32	−0.10
Frequency 2: medium run (10 days to 15 days)
RCOWTI	15.19	0.23	1.02	0.82	0.10	0.09	0.38
RBRL	0.14	9.47	3.02	3.12	0.29	1.21	1.30
RMXN	0.48	2.18	9.38	4.90	0.25	1.99	1.63
RZAR	0.13	2.11	4.00	8.26	0.42	1.35	1.33
RTRY	0.01	0.31	0.46	1.11	18.22	0.10	0.33
RGBP	0.18	1.34	4.61	2.90	0.53	13.12	1.59
TO_ABS	0.16	1.03	2.19	2.14	0.26	0.79	6.57
NET	−0.22	−0.27	0.56	0.81	−0.07	−0.80
Frequency 3: long run (15 days to infinity)
RCOWTI	8.00	0.14	0.55	0.55	0.09	0.08	0.23
RBRL	0.08	5.42	1.78	2.04	0.21	0.67	0.79
RMXN	0.29	1.35	5.70	3.27	0.19	1.33	1.07
RZAR	0.07	1.25	2.39	5.07	0.29	0.83	0.80
RTRY	0.01	0.22	0.34	0.80	10.94	0.05	0.24
RGBP	0.11	0.98	3.27	2.16	0.40	8.36	1.15
TO_ABS	0.09	0.66	1.39	1.47	0.19	0.49	4.29
NET	−0.23	−0.13	0.32	0.67	−0.05	0.66

	RCOWTI	RBRL	RMXN	RZAR	RTRY	RGBP	FROM_ABS
Frequency 1: short run (1 day to 10 days)
RCOWTI	66.51	0.87	3.37	1.32	0.12	0.96	1.11
RBRL	0.60	46.37	11.04	10.91	0.52	3.12	4.37
RMXN	1.15	8.95	34.23	16.93	0.80	6.64	5.74
RZAR	0.72	8.90	18.80	37.78	1.42	6.23	6.01
RTRY	0.37	0.59	1.60	2.23	62.18	0.46	0.87
RGBP	0.49	3.01	7.62	6.46	0.42	44.03	3.00
TO_ABS	0.56	3.72	7.07	6.31	0.55	2.90	21.10
NET	−0.55	−0.65	1.67	0.30	−0.32	−0.10
Frequency 2: medium run (10 days to 15 days)
RCOWTI	15.19	0.23	1.02	0.82	0.10	0.09	0.38
RBRL	0.14	9.47	3.02	3.12	0.29	1.21	1.30
RMXN	0.48	2.18	9.38	4.90	0.25	1.99	1.63
RZAR	0.13	2.11	4.00	8.26	0.42	1.35	1.33
RTRY	0.01	0.31	0.46	1.11	18.22	0.10	0.33
RGBP	0.18	1.34	4.61	2.90	0.53	13.12	1.59
TO_ABS	0.16	1.03	2.19	2.14	0.26	0.79	6.57
NET	−0.22	−0.27	0.56	0.81	−0.07	−0.80
Frequency 3: long run (15 days to infinity)
RCOWTI	8.00	0.14	0.55	0.55	0.09	0.08	0.23
RBRL	0.08	5.42	1.78	2.04	0.21	0.67	0.79
RMXN	0.29	1.35	5.70	3.27	0.19	1.33	1.07
RZAR	0.07	1.25	2.39	5.07	0.29	0.83	0.80
RTRY	0.01	0.22	0.34	0.80	10.94	0.05	0.24
RGBP	0.11	0.98	3.27	2.16	0.40	8.36	1.15
TO_ABS	0.09	0.66	1.39	1.47	0.19	0.49	4.29
NET	−0.23	−0.13	0.32	0.67	−0.05	0.66

Source: Authors’ own presentation

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