Table 10.

Feverish connectedness and regional stock market volatility.

Variables	Stock market Volatility
	Africa		Asia		Europe		Latin America		North America
	Model (1)	Model (2)	Model (3)	Model (4)	Model (5)	Model (6)	Model (7)	Model (8)	Model (9)	Model (10)
$\Delta$TF Connectedness	0.024***	0.018***	0.005*	0.003*	0.014*	0.008*	0.084***	0.068***	0.052***	0.043***
	[0.007]	[0.006]	[0.002]	[0.001]	[0.008]	[0.005]	[0.019]	[0.016]	[0.010]	[0.009]
Constant	0.001***	0.001***	0.001***	0.001***	0.001***	0.001***	0.001***	0.001***	0.001***	0.001***
	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]	[0.000]
Control variables	NO	YES	NO	YES	NO	YES	NO	YES	NO	YES
R-squared	0.03	0.25	0.01	0.13	0.01	0.17	0.06	0.39	0.08	0.31

Notes: *, **, and *** indicate 10%, 5%, and 1% significance level. Standard errors are reported in parentheses. Model (1), (3), (5), (7) and (9) report the baseline model without any control variables while the remaining models included the other determinants to reduce the omitted factors. As regional indexes we use: FTSE/JSE Top 40, FTSE Asia Pacific, FTSE Euro 100, FTSE Latin America and FTSE North America. Market volatility is calculated as the absolute value of stock returns. $\Delta$ denotes the change (first-difference) of TCI Fear index. The list of control variables is calculated as the return for the iBoxx bond index, the gold prices, and the crude oil WTI prices.