Table 4.

The summary results of three types of interactions for all the 10 paired markets.

	Stock-Oil	Stock-Gold	Stock-Currency			Stock-Cryptocurrency				Oil-Gold
	dj-wt	dj-go	dj-ch	dj-eu	S	dj-bi	dj-et	dj-li	S	wt-go
A. The return spillover
Pre		×			←				→	×
Post	×	×			?	×	×	×	×	×
B. The volatility spillover
Pre		×	×		√(←)			×	→
Post		×		×	√(→)	×	×		√(→)
C. The correlation
Pre	+	×	×	×	×	×	×	×	×	×
Post	+	×	×	+	√(+)	×	+	×	√(+)	×
D. The type of interaction affected by the COVID-19 pandemic
Interaction	Return	×			×				Return	×
	Oil-Currency			Oil-Cryptocurrency				Gold-Currency
	wt-ch	wt-eu	S	wt-bi	wt-et	wt-li	S	go-ch	go-eu	S
A. The return spillover
Pre	×	×	×	×	×	×	×	×		√(←)
Post	×	×	×				←	×		√(→)
B. The volatility spillover
Pre		×	√(↔)				↔		×	√(→)
Post		×	√(←)		×		←		×	√(→)
C. The correlation
Pre	×	×	×	×	+	×	√(+)	×	+	√(+)
Post	×	+	√(+)	×	×	×	×	×	+	√(+)
D. The type of interaction affected by the COVID-19 pandemic
Interaction			×				Return			×
	Gold-Cryptocurrency			Currency-Cryptocurrency
	go-et	go-li	S	ch-bi	ch-et	ch-li	eu-bi	eu-et	eu-li	S
A. The return spillover
Pre	×	×	×		×	×		×	×	√(?)
Post	×	×	×				×	×	×	√(→)
B. The volatility spillover
Pre			→	×						→
Post	×		√(→)			×		×		→
C. The correlation
Pre	×	×	×	×	×	×	×	×	×	×
Post	×	×	×	×	+	×	+	+	+	+
D. The type of interaction affected by the COVID-19 pandemic
Interaction			×							Correlation

1. “dj” denotes the DowJones index in the US stock market; “wt” and “go” represent the WTI crude oil and gold in the commodity market, respectively; “ch” and “eu” denote the Chinese yuan (CNY) and Euro in the currency market, respectively, and “bi,” “et,” and “li” denote the abbreviations of Bitcoin, Ethereum, and Litecoin in the cryptocurrency market, respectively. 2. The symbol “ × ” represents that the interaction (correlation and return and volatility spillovers) of a pair of assets does not exist. The symbol “+” in C denotes that the correlation is positive significantly for a pair of assets. For example, the value of parameter ${\omega }_{12}^B$ or ${\omega }_{12}^A$ in Table 3 is significantly positive. 3. The symbol “ → ” in A,B denotes that the spillover from the first asset to the second asset significantly exists for a pair of assets if the value of parameter “${\varphi }_{21}^B$ or ${\varphi }_{21}^A$” for the return spillover in Table 3 is significant, so is the case for parameter “${\nu }_{21}^B$ or ${\nu }_{21}^A$” for the volatility spillover in Table 3. 4. The symbol “←” in A, B denotes that the spillover from the second asset to the first asset significantly exists for a pair of assets if the value of parameter “${\varphi }_{12}^B$ or ${\varphi }_{12}^A$” for the return spillover in Table 3 is significant, so is the case for parameter “${\nu }_{12}^B$ or ${\nu }_{12}^A$” for the volatility spillover in Table 3. 5. The symbol “+” (respectively, “–”) inside the bracket underneath the symbol “ → ” or “←” in panels A-B denotes that the spillover is significantly positive (respectively, negative). 6. The symbol “ × ” in column “S” underneath a paired market data denotes a specific financial feature corresponding to a parameter that does not exist for that paired market data. That is, the total number of pairs of assets that have a significantly positive or negative parameter value is zero, respectively. 7. The symbol “→” (or, “←”) in column “S” underneath a paired market data denotes a spillover effect significantly exist on that paired market data. That is, the total number of pairs of assets that have a significant spillover effect is greater than half of the sample size, respectively. 8. The symbol “√” in column “S” underneath a paired market data denotes a financial feature corresponding to a parameter that is slightly significant on that paired market data. That is, the total number of pairs of assets that have a significantly positive and negative parameter value is less than half of the sample size. In addition, the symbols inside a bracket beside the aforementioned symbol “√” record the most state of significant financial features for that paired market data. 9. The symbol “?” in column “S” underneath a paired market data denotes a financial feature corresponding to a parameter that is significant on that paired market data. However, whether this financial feature such as a spillover “→” or spillover “←” cannot be concluded because the total number of pairs of assets that have a significant spillover “→” and spillover “←” are equal, respectively.