Research on the Time-Frequency Spillover Effect of High-Frequency Stock Price and Economic Policy Uncertainty

Table 11

Uncertainty of international economic policy and static short-term (0–3 months) spillover index of Shanghai composite index.

	SSEC	China	HK	US	UK	Australia	FROM_ABS	FROM_WTH
SSEC	15.01	0.09	0.03	0.16	0.08	0.25	0.1	0.6
China	0.1	9.62	0.06	0.09	0.02	0.16	0.07	0.44
HK	0.12	0.35	25.45	1.09	0.25	1.27	0.51	3.09
US	0.15	0.26	0.48	11.82	1.36	1.95	0.7	4.2
UK	0.02	0.06	0.09	1.19	9.58	1.32	0.45	2.67
Australia	0.17	0.02	0.72	2.29	1.75	12.52	0.82	4.95
TO_ABS	0.09	0.13	0.23	0.8	0.58	0.82	2.66
TO_WTH	0.57	0.77	1.39	4.82	3.45	4.95		15.95