Table 2.

Results of the VAR model (segment A: January 04, 2010, to November 30, 2019).

	Coefficient	Std. Error	P-values		Coefficient	Std. Error	P-values
Mean equation of GOLD (1)				Mean equation of S&P 500 (4)
ψ1,1	−0.0663733	0.01527082	0.00		Coefficient	Std. Error	P-Values
ψ1,2	0.01390	0.00853102	0.10	ψ4,1	−0.005943	0.01375043	0.67
ψ1,3	−0.03240	0.01817647	0.07	ψ4,2	0.01239701	0.00768165	0.11
ψ1,4	−0.01164	0.01872308	0.53	ψ4,3	0.05689102	0.01636679	0.00
ψ1,5	0.01089	0.00789565	0.17	ψ4,4	−0.0781875	0.01685897	0.00
ψ1,6	0.03595	0.01929815	0.06	ψ4,5	−0.0038499	0.00710955	0.59
ψ1,0	0.00012	0.01615287	0.99	ψ4,6	−0.0543505	0.0173768	0.00
Mean equation of Wheat (2)				ψ4,0	0.09434912	0.01454467	0.00
	Coefficient	Std. Error	P-Values	Mean equation of Beverages (5)
ψ2,1	0.0089	0.03233804	0.78		Coefficient	Std. Error	P-values
ψ2,2	−0.0144746	0.01806558	0.42	ψ5,1	0.0799311	0.0364337	0.03
ψ2,3	−0.0571547	0.03849114	0.14	ψ5,2	−0.0405845	0.02035362	0.05
ψ2,4	0.08921727	0.03964865	0.02	ψ5,3	0.00560199	0.0433661	0.90
ψ2,5	0.01618946	0.01672011	0.33	ψ5,4	0.07789655	0.04467021	0.08
ψ2,6	−0.0029766	0.04086645	0.94	ψ5,5	0.06411897	0.01883774	0.00
Ψ2,0	−0.0369324	0.0342059	0.28	ψ5,6	−0.0296621	0.04604225	0.52
Mean equation of WTI (3)				Ψ5,0	0.00550858	0.03853813	0.89
	Coefficient	Std. Error	P-Values	Mean equation of Brent OIL (6)
ψ3,1	0.00375597	0.0317581	0.91		Coefficient	Std. Error	P-values
ψ3,2	0.00468819	0.0177416	0.079	ψ6,1	−0.0108263	0.02945432	0.71
ψ3,3	0.01760762	0.0378008	0.064	ψ6,2	0.00370866	0.0164546	0.82
ψ3,4	0.02076169	0.0389376	0.59	ψ6,3	0.00593504	0.03505872	0.87
ψ3,5	−0.0110908	0.01642026	0.50	ψ6,4	0.04890852	0.03611301	0.18
ψ3,6	−0.0628865	0.04013357	0.012	ψ6,5	−0.0011576	0.01522911	0.94
Ψ3,0	0.04399024	0.03359246	0.19	ψ6,6	−0.0569309	0.03722222	0.13
				ψ6,0	0.06723677	0.03115561	0.03

Notes: This table presents the estimated results from Eq. (2), where ψ is the returns transmission impact from asset i to j.