Table 1.
Spillovers from stock market return (j) to stock market return (i).
| To (i) | From (j) | From Others | |||||||
|---|---|---|---|---|---|---|---|---|---|
| US | SA | RU | CN | CH | EU | IN | COM | ||
| US | 37 | 2.5 | 6.3 | 23.6 | 1.3 | 17.2 | 5.8 | 6.3 | 63 |
| SA | 5.5 | 73 | 2.5 | 5.3 | 1.1 | 6 | 3.5 | 3.2 | 27 |
| RU | 9.6 | 1.3 | 51.4 | 9.8 | 1.7 | 14.4 | 5.5 | 6.2 | 48.6 |
| CN | 22.8 | 2.7 | 6.4 | 36.6 | 1.4 | 15.4 | 6.9 | 7.7 | 63.4 |
| CH | 4.4 | 1.1 | 3 | 3.9 | 75.7 | 4.9 | 4.2 | 2.8 | 24.3 |
| EU | 18.3 | 2.8 | 10.4 | 16.3 | 1.8 | 37.3 | 7.5 | 5.7 | 62.7 |
| IN | 10.3 | 2.6 | 6.2 | 10.7 | 3 | 11.2 | 53.4 | 2.6 | 46.6 |
| COM | 9.8 | 1.8 | 6.7 | 12.2 | 1.7 | 8.4 | 2.4 | 57 | 43 |
| Contr. to others | 80.6 | 14.8 | 41.5 | 81.8 | 12 | 77.5 | 35.8 | 34.5 | Spillover index |
| Contr. incl. own | 117.6 | 87.8 | 92.9 | 118.4 | 87.7 | 114.9 | 89.2 | 91.6 | (378.5/800.1) |
| Net spillovers | 17.6 | –12.2 | –7.1 | 18.4 | –12.3 | 14.8 | –10.8 | –8.5 | 47.3% |
Notes: Table 1 reports the total spillover index and its “input-output” decomposition for the entire sample. Its (i,j)-th elements are the estimated contributions to the forecast error variance components of the stock market return i coming from shocks to the stock market return j. The total spillover index for returns, reported in the bottom right of Table 1, is the off-diagonal column (or row) sum relative to the column (or row) sum including diagonals, expressed as a percentage. Therefore, while the off-diagonal row sums (labeled from others) or column sums (labeled contr. to others) when totaled across markets, give the numerator of the spillover index, the column sums including diagonals (labelled contr. incl. own) when totaled, give the denominator of the index.