Table 1.
Summary statistics.
| Mean | Median | Std.dev | Min | Max | N | |
|---|---|---|---|---|---|---|
| Return connectedness | 19.372 | 18.420 | 12.045 | 0.029 | 48.729 | 11,696 |
| Volatility connectedness | 20.217 | 20.616 | 12.555 | 0.041 | 48.942 | 11,696 |
| COVID_stage= 2 | 0.337 | 0.000 | 0.473 | 0.000 | 1.000 | 11,696 |
| COVID_stage= 3 | 0.593 | 1.000 | 0.491 | 0.000 | 1.000 | 11,696 |
| SARS_deathi,j = 1 | 0.382 | 0.000 | 0.486 | 0.000 | 1.000 | 11,696 |
| SARS_deathi,j = 2 | 0.044 | 0.000 | 0.205 | 0.000 | 1.000 | 11,696 |
| COVID_global_confirm | 12.599 | 12.679 | 2.269 | 6.321 | 15.424 | 11,696 |
| COVID_global_death | 9.456 | 9.535 | 2.662 | 2.890 | 12.701 | 11,696 |
| Interest rate Diff | −1.141 | −0.511 | 4.053 | −22.526 | 22.150 | 11,696 |
| Exchange Vol Diff | −0.414 | −0.268 | 7.463 | −26.875 | 24.488 | 11,696 |
| GDP growth Diff | 0.135 | 0.200 | 2.645 | −5.800 | 6.000 | 11,696 |
This table presents the mean, median, standard deviation (Std.dev), maximum (Max) and minimum (Min) values of various variable for 11,696 country-pair-date observations from 22nd January 2020 to 20th May 2020. Return and Volatility connectedness are constructed using F.X. Diebold and Yilmaz (2012, F.X. 2014)’s approach within a FIVAR framework. COVID_stage=2 is a dummy variable if the date is between 30th January to 10th March 2020, and zero otherwise. COVID_stage=3 is a dummy variable if the date is after 10th March 2020, and zero otherwise. SARS_deathi,j = 1 is a dummy variable if one of a pair of countries experienced death cases in SARS, and zero otherwise. SARS_deathi,j = 2 is a dummy variable if both of a pair of countries experienced death cases in SARS, and zero otherwise. COVID_global_confirm is the natural logarithm of one plus the number of accumulative global confirmed cases in COVID-19 on each day. COVID_global_death is the natural logarithm of one plus the number of accumulative global death cases in COVID-19 on each day. Interest rate Diff is the difference of daily rate of 1-month T-bills between a pair of countries. and. Exchange Vol Diff is the difference of exchange rate fluctuation over the previous 21 trading days. GDP growth Diff is the difference in the GDP growth rate between two countries in each pair.