Table 3.
Static liquidity spillover.
| This table reports pairwise, directional, and net directional spillovers across the four stock markets from the 2nd of September 2019 to the 30th of September 2020. The upper-left 4 × 4 market submatrix indicates the ij-th pairwise directional spillover from country j’s liquidity to country i. Therefore, the off-diagonal sums of all columns (denoted as TO) and rows (denoted as FROM) provide the total directional spillover to all others from market i and from all others to market i, respectively. The last row (denoted as NET Spillovers) provides the difference between the two directions of spillovers (TO-FROM). The bottom-right entry reports the total liquidity spillover across the four stock markets. | |||||
|---|---|---|---|---|---|
| ij | US | UK | Germany | China | Directional FROM Others |
| US | 90.462 | 3.031 | 5.309 | 1.197 | 9.538 |
| UK | 49.544 | 38.266 | 11.120 | 1.069 | 61.734 |
| Germany | 31.412 | 6.958 | 60.083 | 1.547 | 39.917 |
| China | 1.800 | 0.259 | 2.463 | 95.476 | 4.524 |
| Directional TO Others | 82.758 | 10.247 | 18.893 | 3.813 | Total spillover |
| NET Spillovers (TO-FROM) | 73.221 | −51.486 | −21.024 | −0.710 | 28.928% |