Table 3.

Connectedness table.

	USA	AUS	CAN	CHN	EUR	IND	JP	RUS	SA	UK	VIX	EPU	OIL	10YTB	FROM
USA	–	5.04	14.89	2.75	10.60	3.30	0.44	4.21	5.85	10.27	10.38	0.02	2.82	4.16	74.75
AUS	10.35	–	10.10	5.33	10.21	4.84	2.88	5.89	7.55	9.72	4.96	0.02	2.30	1.48	75.62
CAN	13.39	6.94	–	2.77	11.40	3.36	0.71	6.81	7.22	10.59	5.62	0.02	5.09	3.15	77.07
CHN	7.64	7.56	6.47	–	6.75	7.94	3.24	4.32	7.91	6.83	4.29	0.01	1.31	1.59	65.86
EUR	10.20	7.33	10.94	3.03	–	3.90	0.77	6.75	9.33	16.17	5.17	0.00	2.46	2.59	78.65
IND	7.58	6.57	6.70	8.15	7.60	–	0.79	5.03	7.65	7.54	3.34	0.01	1.76	1.25	63.95
JP	12.19	5.00	8.53	3.50	9.58	2.52	–	3.65	4.28	9.14	6.01	0.01	1.17	2.10	67.68
RUS	6.55	6.80	10.29	3.58	9.87	4.21	0.53	–	7.91	8.63	3.09	0.02	4.37	3.02	68.88
SA	8.04	7.41	9.07	5.12	11.73	4.81	0.68	6.79	–	10.91	4.67	0.01	2.44	1.54	73.23
UK	10.39	7.23	10.55	3.27	16.77	4.14	0.70	6.12	8.98	–	4.94	0.01	2.24	2.51	77.83
VIX	14.80	3.08	8.87	1.99	8.19	1.98	0.33	2.84	6.28	7.14	–	0.02	2.58	3.03	61.14
EPU	1.47	0.31	1.05	0.25	0.96	0.83	0.06	0.66	0.60	0.85	2.56	–	0.33	0.39	10.34
OIL	5.19	4.06	10.79	1.52	5.68	2.39	0.18	6.38	4.56	4.98	2.59	0.05	–	2.89	51.25
10YTB	8.51	2.14	7.21	1.97	6.25	1.55	0.05	4.73	2.98	5.80	3.99	0.08	3.09	–	48.37
TO	116.30	69.46	115.46	43.24	115.59	45.78	11.38	64.17	81.09	108.57	61.62	0.28	31.97	29.71	63.90
NET	41.55	−6.17	38.39	−22.62	36.95	−18.17	−56.30	−4.71	7.86	30.74	0.48	−10.06	−19.28	−18.65

Note: The ij-th entry of the upper 14$\times$14 matrix represents the ij-th pairwise directional connectedness; the percent of forecast error variance of market i due to shocks from market j. The column named “from” shows total directional connectedness from all other markets to market i, whereas the row named “to” shows total directional connectedness to all other markets from market j. The row named “net” shows the total net pairwise directional connectedness (to-from). The bottom-right element (in boldface) is total connectedness (mean “from” connectedness, or equivalently, mean “to” connectedness). Own-variable contributions are neglected.