Segment Stock Market, Foreign Investors, and Cross-Correlation: Evidence from MF-DCCA and Spillover Index
Table 4
Postperiod sample return spillover table.
AHA
AHH
USA
UK
FRA
GER
TAI
JAN
KOR
THA
SIN
AUS
FROM
AHA
34.67
23.22
4.83
3.15
4.91
5.04
5.49
3.37
4.39
3.29
6.80
0.83
65.33
AHH
18.77
27.95
4.91
3.46
5.19
5.51
8.81
4.44
6.59
3.50
8.99
1.88
72.05
USA
2.68
3.35
21.28
10.17
10.53
9.58
6.98
8.76
7.64
4.38
7.47
7.18
78.72
UK
2.18
2.85
10.43
21.17
13.17
11.06
5.88
7.13
7.15
4.59
7.05
7.34
78.83
FRA
2.81
3.61
8.99
11.20
17.99
15.46
5.71
9.87
7.23
4.75
6.80
5.58
82.01
GER
2.93
4.05
8.78
10.07
16.47
19.09
5.58
9.83
6.81
4.29
6.50
5.61
80.91
TAI
3.61
7.22
7.53
6.22
7.18
6.66
23.01
6.42
11.99
5.50
9.29
5.37
76.99
JAN
2.14
3.49
8.96
6.94
12.03
11.29
5.98
21.73
8.76
3.60
8.32
6.76
78.27
KOR
2.56
5.06
7.72
7.16
8.78
7.87
11.31
8.74
21.66
4.86
8.92
5.35
78.34
THA
2.95
3.72
6.71
6.98
8.48
7.22
7.34
5.41
6.74
31.75
7.47
5.22
68.25
SIN
4.13
6.83
8.10
7.82
8.68
7.63
8.50
7.90
8.58
4.96
20.92
5.95
79.08
AUS
0.85
1.97
9.27
9.35
8.59
8.09
6.34
8.54
6.61
4.45
7.90
28.04
71.96
TO
45.60
65.37
86.23
82.52
104.01
95.42
77.92
80.41
82.50
48.17
85.51
57.08
Total = 77.28
NET
−19.73
−6.68
7.51
3.69
22.00
14.51
0.93
2.14
4.16
−20.08
6.43
−14.88
Note. The underlying variance decomposition is based upon VAR of order 1, and the predictive horizon is 2. The upper-left 12 × 12 market submatrix gives the ijth pairwise directional spillover index. The “FROM” column gives total directional connectedness of from, which is the row sums. The “TO” row gives total directional connectedness of to, which is the column sums. The “NET” row measures the difference in total directional connectedness (TO–FROM). The bottom-right element “Total” is the mean of “FROM,” or equivalently, mean of “TO,” which mirrors the total connectedness.
