Research Article
Research on the Time-Frequency Spillover Effect of High-Frequency Stock Price and Economic Policy Uncertainty
Table 6
International EPU and static medium-term (4–12 months) spillover index of Shanghai composite index.
| | SSEC | China | HK | US | UK | Australia | FROM_ABS | FROM_WTH |
| SSEC | 12.54 | 0.13 | 0.03 | 0.22 | 0.01 | 0.22 | 0.1 | 0.93 | China | 0.06 | 3.61 | 0.13 | 0.16 | 0.11 | 0.13 | 0.1 | 0.9 | HK | 0.14 | 0.37 | 14.14 | 0.56 | 0.13 | 1.21 | 0.4 | 3.67 | US | 0.11 | 0.08 | 0.26 | 7.62 | 1.15 | 2.51 | 0.68 | 6.24 | UK | 0.01 | 0.05 | 0.14 | 0.84 | 6.11 | 1.15 | 0.36 | 3.32 | Australia | 0.17 | 0.06 | 0.42 | 1.76 | 1.47 | 7.97 | 0.65 | 5.9 | TO_ABS | 0.08 | 0.12 | 0.16 | 0.59 | 0.48 | 0.87 | 2.3 | | TO_WTH | 0.75 | 1.05 | 1.48 | 5.38 | 4.36 | 7.95 | | 20.97 |
|
|