Table 4.

Summary statistics of total connectedness and net directional connectedness.

Variables	$T{C}_t$	$N{C}_{AUD,t}$	$N{C}_{CAD,t}$	$N{C}_{CHF,t}$	$N{C}_{EUR,t}$	$N{C}_{GBP,t}$	$N{C}_{JPY,t}$	$N{C}_{NOK,t}$	$N{C}_{NZD,t}$	$N{C}_{SEK,t}$
Panel A. Full Sample Period
Mean	69.93	10.29	−7.94	−4.59	14.40	−12.18	−25.01	9.51	7.40	8.10
Std. Dev.	5.43	10.97	16.06	13.06	15.26	7.55	12.12	8.81	5.88	8.03
ADF test	−1.77	−2.62*	−2.36	−2.41	−2.62*	−3.00**	−2.79**	−2.66*	−3.16**	−2.38
Detrended ADF test	−2.80**	−2.79**	−2.57*	−2.77*	−2.76*	−3.08**	−2.92**	−2.98**	−3.18**	−3.08**
Panel B. Sub-period 1: Before January 23, 2020
Mean	67.19	4.23	−14.41	1.49	22.83	−13.92	−20.95	8.74	5.76	6.20
Std. Dev.	4.00	5.39	5.60	6.81	4.13	4.29	6.11	7.28	5.19	8.24
Panel C. Sub-period 2: After January 23, 2020
Mean	73.20	17.55	−0.19	−11.89	4.31	−10.10	−29.86	10.43	9.36	10.37
Std. Dev.	5.10	11.54	20.48	14.89	17.46	9.77	15.33	10.28	6.07	7.14

This table reports the summary statistics on the levels of the total connectedness and net directional connectedness of G10 currencies for the full sample period (January 1, 2018–June 17, 2021) in Panel A and for the two sub-samples (before and after January 23, 2020) in Panel B and Panel C. The Augmented Dickey-Fuller (ADF) test is used to test the null hypothesis that the series has a unit root, with an optimal of 6 lag lengths, according to Schwarz information criterion (SIC). The ADF test is also executed for the detrended series (i.e. removing a deterministic trend). ***, **, and * indicate significance at the 1%, 5%, and 10% levels, respectively.