Table 2.

Average connectedness table.

	Brazil	China	EMU	India	Russia	South Africa	UK	US	MCI	FROM
Brazil	74.4	1.7	7.6	5.4	5.8	6.8	5	4.9	1.1	38.1
China	3.2	74.5	7.3	7	5.6	5.5	4.2	4.1	1.2	38
EMU	4	1.8	44.2	8.4	7.4	15.3	22.1	8.7	0.6	68.3
India	3.8	3.9	12.1	57.9	8.2	10.7	8.5	6.4	1	54.6
Russia	3.1	0.7	11.6	7.3	60.7	13.6	9.1	1.6	4.9	51.8
South Africa	4.1	2.5	17.9	8.6	10.7	48.2	13.4	4.8	2.4	64.3
UK	2.1	1.2	25.4	6.1	5.6	12.6	48.5	10.3	0.8	64
US	4.4	2.5	14.9	5.1	1.1	5.6	13.7	63.1	2.1	49.4
MCI	0.1	0.5	0.3	0	1.3	0.1	0.2	0.6	109.4	3.1
Contribution TO others	24.8	14.8	97	47.8	45.7	70.2	76.1	41.2	14.1	431.7
NET directional connectedness	−13.3	−23.2	28.6	−6.8	−6.1	5.8	12.1	−8.1	11.1	TCI: 35.5

Notes: The results are based on a TVP-VAR model with a lag length of order one and a 10 step-ahead generalised forecast error variance decomposition and estimated using the following equations:.

$T{O}_{jt}=\sum _{i=1,i\ne j}^k{\tilde{\theta }}_{ij,t}^g\left(H\right)$ (5).

$FRO{M}_{jt}=\sum _{i=1,i\ne j}^k{\tilde{\theta }}_{ji,t}^g\left(H\right)$ (6).

NET_jt =  TO_jt − FROM_jt (7).

$TC{I}_t=k^{-1}\sum _{J=1}^{k}T{O}_{jt}-k^{-1}\sum _{J=1}^{k}FRO{M}_{jt}$ (8).

TO_jt in Eq. (5) represents a shock to all variables, known as the total directional connectedness to others while FROM_jt in Eq. (6) represents a shock from all variables, known as the total directional connectedness from others. NET_jt in Eq. (7) measures the net directional connectedness to indicate whether it is a net transmitter or net receiver. TCI_t in Eq. (8) is a total connectedness index.