Table 6. Dynamic connectedness using BK...

Table 6.

Dynamic connectedness using BK test (2018) during Russo−Ukraine war

	RCOWT	RBRL	RMXN	RZAR	RTRY	RGBP	FROM_ABS
Frequency 1: short run (1 day to 10 days)
RCOWTI	71.14	0.37	0.51	2.18	0.35	6.07	1.58
RBRL	1.12	37.01	10.98	10.97	0.91	10.95	5.82
RMXN	1.95	10.20	31.58	16.31	2.50	11.09	7.01
RZAR	0.07	11.17	19.38	33.73	2.19	14.35	7.86
RTRY	0.25	2.73	2.34	1.41	57.15	0.72	1.24
RGBP	1.21	9.74	12.14	14.14	1.21	35.49	6.41
TO_ABS	0.77	5.70	7.56	7.50	1.19	7.20	29.92
NET	−0.81	−0.12	0.55	−0.36	−0.05	0.79
Frequency 2: medium run (10 days to 15 days)
RCOWTI	11.42	0.63	0.01	0.15	0.18	0.31	0.21
RBRL	0.02	9.10	2.86	3.58	0.11	2.81	1.56
RMXN	0.67	1.81	7.42	4.52	0.40	2.57	1.66
RZAR	0.01	1.56	2.81	5.80	0.22	2.04	1.10
RTRY	0.09	0.59	1.26	0.11	20.26	0.04	0.35
RGBP	0.69	2.77	3.24	3.38	0.07	6.91	1.69
TO_ABS	0.25	1.23	1.70	1.96	0.16	1.29	6.58
NET	0.04	−0.33	0.04	0.86	−0.19	−0.4
Frequency 3: long run (15 days to infinity)
RCOWTI	5.94	0.46	0.01	0.08	0.09	0.09	0.12
RBRL	0.00	4.89	1.30	1.96	0.02	1.42	0.78
RMXN	0.35	0.70	3.89	2.47	0.09	1.46	0.85
RZAR	0.00	0.93	1.38	3.16	0.01	1.19	0.59
RTRY	0.04	0.08	0.95	0.04	11.93	0.01	0.19
RGBP	0.40	1.41	1.71	1.82	0.01	3.64	0.89
TO_ABS	0.13	0.60	0.89	1.06	0.04	0.69	3.41
NET	0.01	−0.18	0.04	0.47	−0.59	−0.20

	RCOWT	RBRL	RMXN	RZAR	RTRY	RGBP	FROM_ABS
Frequency 1: short run (1 day to 10 days)
RCOWTI	71.14	0.37	0.51	2.18	0.35	6.07	1.58
RBRL	1.12	37.01	10.98	10.97	0.91	10.95	5.82
RMXN	1.95	10.20	31.58	16.31	2.50	11.09	7.01
RZAR	0.07	11.17	19.38	33.73	2.19	14.35	7.86
RTRY	0.25	2.73	2.34	1.41	57.15	0.72	1.24
RGBP	1.21	9.74	12.14	14.14	1.21	35.49	6.41
TO_ABS	0.77	5.70	7.56	7.50	1.19	7.20	29.92
NET	−0.81	−0.12	0.55	−0.36	−0.05	0.79
Frequency 2: medium run (10 days to 15 days)
RCOWTI	11.42	0.63	0.01	0.15	0.18	0.31	0.21
RBRL	0.02	9.10	2.86	3.58	0.11	2.81	1.56
RMXN	0.67	1.81	7.42	4.52	0.40	2.57	1.66
RZAR	0.01	1.56	2.81	5.80	0.22	2.04	1.10
RTRY	0.09	0.59	1.26	0.11	20.26	0.04	0.35
RGBP	0.69	2.77	3.24	3.38	0.07	6.91	1.69
TO_ABS	0.25	1.23	1.70	1.96	0.16	1.29	6.58
NET	0.04	−0.33	0.04	0.86	−0.19	−0.4
Frequency 3: long run (15 days to infinity)
RCOWTI	5.94	0.46	0.01	0.08	0.09	0.09	0.12
RBRL	0.00	4.89	1.30	1.96	0.02	1.42	0.78
RMXN	0.35	0.70	3.89	2.47	0.09	1.46	0.85
RZAR	0.00	0.93	1.38	3.16	0.01	1.19	0.59
RTRY	0.04	0.08	0.95	0.04	11.93	0.01	0.19
RGBP	0.40	1.41	1.71	1.82	0.01	3.64	0.89
TO_ABS	0.13	0.60	0.89	1.06	0.04	0.69	3.41
NET	0.01	−0.18	0.04	0.47	−0.59	−0.20

Source: Authors’ own presentation

Sharing Unavailable