Table 4.

Effect of the EPU on the connectedness between the stock market before and after COVID-19 pandemic

	Total connect	Net connectedness
		China	France	Germany	Italy	Russia	Spain	UK	US
Panel A: Full period
${\theta }_0$	63.0278***	−2.3180***	2.4566***	1.3867***	0.9731***	−2.8318***	1.0697***	0.3039***	−1.0401***
	(0.1716)	(0.0626)	(0.0151)	(0.0233)	(0.0200)	(0.0173)	(0.0158)	(0.0363)	(0.0479)
${\theta }_1$	0.0239***	−0.0042***	−0.0002	0.0014***	−0.0011***	0.0015***	0.0006***	0.0016***	0.0005
	(0.0013)	(0.0005)	(0.0001)	(0.0002)	(0.0002)	(0.0001)	(0.0001)	(0.0003)	(0.0004)
Panel B: Before COVID-19
${\theta }_0$	64.9779***	−2.6990***	2.3216***	1.2773***	0.9872***	−2.6534***	1.1577***	0.6811***	−1.0726***
	(0.2402)	(0.0898)	(0.0212)	(0.0339)	(0.0293)	(0.0231)	(0.0224)	(0.0512)	(0.0717)
${\theta }_1$	−0.0027	0.0012	0.0014***	0.0026***	−0.0012***	−0.0010***	−0.0007***	−0.0032***	0.0008
	(0.0026	(0.0010)	(0.0002)	(0.0004)	(0.0003)	(0.0002)	(0.0002)	(0.0006)	(0.0008)
Panel C: COVID−19 period
${\theta }_0$	65.9934***	−3.7050***	2.9934***	2.1246***	0.6737***	−2.4235***	1.2975***	−0.1945**	−0.7658***
	(0.4656	(0.1382)	(0.0320)	(0.0242)	(0.0761)	(0.0791)	(0.0684)	(0.0920)	(0.0685)
${\theta }_1$	0.0241***	−0.0029***	−0.0017***	−0.0004***	−0.0005**	0.0014***	0.0004**	0.0038***	−0.0002
	(0.0013)	(0.0004)	(0.0001)	(0.0001)	(0.0002)	(0.0002)	(0.0002)	(0.0002)	(0.0002)

This table provides the parameter estimates of the model in Eq. (11). Numbers between parenthesis denote the estimated standard error. (***), (**), and (*) indicate the parameters significance at 1%, 5%,, and 10%, respectively