Dynamic Contagion of Systemic Risks on Global Main Equity Markets Based on Granger Causality Networks

Table 1

Summary statistics for average out-degrees and in-degrees of Granger causality networks.

Area	Code	Market	Out-degree				In-degree
			Mean	SD	Skew.	Kurt.	Mean	SD	Skew.	Kurt.
Asia	HSZS	Hong Kong	4.44	3.82	1.14	0.95	16.43	6.03	-0.67	-0.34
	JKSE	Indonesia	3.86	3.52	1.28	1.30	12.41	6.69	0.02	-1.00
	KLSE	Malaysia	4.14	4.28	1.85	3.80	13.39	7.80	-0.12	-1.05
	KS11	Korea	4.51	4.44	2.04	5.11	17.05	6.34	-0.48	-0.49
	N225	Japan	3.66	3.67	2.01	4.42	19.55	5.65	-0.83	0.98
	SENSEX	India	5.81	5.25	1.75	3.81	9.59	6.45	0.47	-0.64
	SSEC	China	3.26	4.14	2.21	6.18	5.75	6.49	1.43	1.12
	STI	Singapore	4.70	3.93	1.16	1.06	14.65	6.63	-0.36	-0.69
	SZSE	China	3.54	3.93	1.64	2.74	5.26	6.51	1.76	2.41
	TA100	Israel	4.87	4.49	1.35	1.54	8.74	6.34	0.55	-0.72
	TWII	Taiwan	4.06	4.24	1.77	3.76	15.04	7.04	-0.25	-0.82
America	DJI	America	16.64	5.77	0.03	-0.89	4.44	3.58	1.05	0.70
	GSPTSE	Canada	13.31	6.04	0.25	-0.76	4.49	4.19	1.46	1.96
	IBOV	Brazil	13.21	7.42	0.24	-0.97	4.64	3.72	1.22	1.35
	IXIC	America	16.42	6.09	0.24	-0.59	4.37	3.81	1.35	1.90
	MERV	Argentina	10.04	6.36	0.56	-0.30	3.94	4.29	2.16	6.52
	MXX	Mexico	13.37	7.06	0.42	-0.63	3.98	3.82	1.73	3.51
	NYA	America	17.46	5.78	-0.18	-1.11	4.21	4.06	2.08	5.56
	SPX	America	17.30	6.14	-0.38	-0.17	4.12	3.66	1.32	1.68
	XAX	America	14.17	6.80	0.15	-1.04	4.06	3.64	1.16	0.96
Europe	AEX	Holland	9.89	4.30	0.40	-0.42	6.76	4.00	0.40	-0.13
	ATX	Austria	8.46	4.49	0.87	1.46	7.29	4.99	0.85	0.88
	BFX	Belgium	9.38	4.93	0.82	0.49	7.46	5.06	0.85	0.69
	FCHI	France	10.08	4.01	0.40	-0.37	6.51	4.16	0.48	-0.38
	FTSE	Britain	10.69	5.04	0.90	1.01	7.06	3.87	0.14	-0.65
	GDAXI	Germany	9.95	4.49	0.81	0.67	6.21	3.91	0.62	-0.11
	IBEX	Spain	9.24	4.64	1.34	2.96	6.11	4.05	0.42	-0.51
	MIB	Italy	9.42	4.29	0.55	-0.33	5.79	4.83	0.95	0.41
	OMXSPI	Sweden	9.30	4.93	0.63	-0.13	7.24	4.28	0.72	0.86
	OSEAX	Norway	7.76	4.92	0.60	-0.43	8.02	4.99	0.38	-0.36
	RTS	Russia	6.51	4.59	0.95	0.77	7.89	5.36	0.55	-0.36
	SSMI	Switzerland	8.84	4.26	0.46	-0.01	7.51	4.26	0.17	-0.51
Oceania	AORD	Australia	4.49	4.31	1.58	2.15	20.24	4.69	-1.01	0.58
	NZ50	New Zealand	3.77	3.98	1.38	1.28	16.38	7.25	-0.29	-0.79