Panel A: Total spillovers among the Sample Markets Aggregated over the two Moments using Greenwood Nimmo Procedure (Return and Conditional Volatility) | Panel B | |||||||||||||||||||||||
Row/ Column No. | AR | BG | CL | CO | HU | IID | MC | MY | PE | PH | PK | PL | RO | TH | TR | BR | RU | IN | CN | ZA | US | Contribution from Others excluding own | Contribution from BRICS excluding own | |
1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 | 12 | 13 | 14 | 15 | 16 | 17 | 18 | 19 | 20 | 21 | 22 | 23 | ||
AR | 1 | 56.40 | 0.74 | 5.37 | 1.63 | 2.66 | 0.69 | 4.82 | 0.47 | 3.60 | 0.39 | 0.29 | 2.10 | 1.24 | 0.73 | 1.59 | 5.56 | 2.38 | 0.69 | 0.94 | 2.59 | 5.17 | 43.60 | 12.14 |
BG | 2 | 0.73 | 71.97 | 1.44 | 0.46 | 1.71 | 0.50 | 1.18 | 0.64 | 1.06 | 0.60 | 0.29 | 1.00 | 2.08 | 0.42 | 7.79 | 1.01 | 1.66 | 1.41 | 1.61 | 0.74 | 1.76 | 28.05 | 6.43 |
CL | 3 | 3.85 | 0.39 | 27.49 | 2.54 | 4.75 | 0.99 | 11.04 | 1.00 | 6.23 | 0.43 | 0.02 | 4.27 | 1.67 | 1.15 | 2.48 | 9.19 | 4.54 | 1.78 | 1.56 | 5.44 | 9.23 | 72.52 | 22.51 |
CO | 4 | 1.96 | 0.15 | 4.92 | 47.96 | 3.87 | 0.97 | 5.92 | 0.54 | 3.59 | 0.76 | 0.55 | 3.04 | 1.80 | 0.97 | 2.01 | 4.90 | 3.86 | 2.19 | 1.29 | 5.37 | 3.42 | 52.03 | 17.60 |
HU | 5 | 1.92 | 0.55 | 7.05 | 2.72 | 25.93 | 0.61 | 8.48 | 0.76 | 4.91 | 0.38 | 0.10 | 10.45 | 5.37 | 1.00 | 2.58 | 5.51 | 5.05 | 2.00 | 1.82 | 5.63 | 7.23 | 74.07 | 20.00 |
IID | 6 | 1.90 | 0.34 | 5.14 | 2.94 | 2.86 | 36.56 | 5.98 | 3.69 | 4.27 | 2.01 | 0.07 | 3.01 | 1.61 | 2.88 | 2.10 | 5.68 | 2.99 | 4.68 | 3.77 | 4.19 | 3.42 | 63.47 | 21.29 |
MC | 7 | 3.30 | 0.28 | 11.13 | 2.67 | 5.28 | 0.69 | 24.15 | 0.77 | 6.25 | 0.40 | 0.05 | 4.69 | 1.79 | 0.90 | 2.71 | 10.25 | 4.35 | 1.46 | 1.44 | 7.01 | 10.47 | 75.85 | 24.50 |
MY | 8 | 1.51 | 0.31 | 4.73 | 1.40 | 3.22 | 3.55 | 5.86 | 39.18 | 3.26 | 2.49 | 0.25 | 3.23 | 2.08 | 2.48 | 2.61 | 4.83 | 2.82 | 3.32 | 4.31 | 4.30 | 4.30 | 60.82 | 19.56 |
PE | 9 | 3.09 | 0.37 | 9.23 | 2.66 | 4.54 | 0.82 | 8.69 | 0.81 | 33.32 | 0.52 | 0.11 | 3.38 | 2.16 | 1.04 | 1.82 | 7.51 | 3.80 | 1.69 | 1.59 | 5.27 | 7.64 | 66.70 | 19.85 |
PH | 10 | 1.84 | 0.44 | 5.50 | 2.73 | 2.96 | 3.73 | 6.62 | 3.18 | 4.28 | 36.68 | 0.20 | 2.81 | 2.66 | 2.24 | 2.49 | 4.60 | 2.71 | 2.93 | 3.62 | 3.39 | 4.43 | 63.32 | 17.24 |
PK | 11 | 0.72 | 0.11 | 0.89 | 1.77 | 1.01 | 0.59 | 1.79 | 0.40 | 0.47 | 0.42 | 82.23 | 0.97 | 1.44 | 0.36 | 0.56 | 1.08 | 0.81 | 1.24 | 0.40 | 1.07 | 1.73 | 17.77 | 4.59 |
PL | 12 | 2.31 | 0.46 | 6.47 | 2.18 | 11.26 | 0.96 | 7.96 | 1.03 | 4.34 | 0.38 | 0.12 | 26.82 | 3.77 | 1.08 | 3.14 | 5.66 | 4.96 | 2.18 | 2.21 | 7.05 | 5.70 | 73.18 | 22.06 |
RO | 13 | 1.19 | 0.90 | 3.92 | 1.58 | 4.96 | 0.95 | 5.04 | 1.22 | 2.61 | 0.79 | 0.62 | 5.69 | 46.79 | 1.06 | 1.53 | 3.23 | 4.16 | 3.45 | 2.66 | 3.49 | 4.22 | 53.23 | 16.98 |
TH | 14 | 1.37 | 0.13 | 3.55 | 1.02 | 1.75 | 2.48 | 4.23 | 2.36 | 2.88 | 1.05 | 0.32 | 2.13 | 1.23 | 57.14 | 1.74 | 3.36 | 2.32 | 2.69 | 2.50 | 2.59 | 3.22 | 42.87 | 13.45 |
TR | 15 | 1.89 | 1.18 | 4.23 | 1.81 | 4.27 | 0.85 | 5.35 | 1.01 | 2.89 | 0.59 | 0.10 | 4.65 | 1.12 | 0.99 | 48.12 | 4.50 | 4.54 | 2.10 | 1.59 | 4.41 | 3.85 | 51.88 | 17.13 |
BR | 16 | 3.99 | 0.19 | 10.79 | 2.36 | 5.13 | 0.77 | 12.04 | 0.85 | 7.13 | 0.38 | 0.09 | 4.27 | 1.87 | 0.97 | 2.54 | 23.50 | 4.26 | 1.52 | 1.67 | 6.96 | 8.76 | 76.49 | 14.40 |
RU | 17 | 2.98 | 0.35 | 6.60 | 2.69 | 6.43 | 0.93 | 7.82 | 1.20 | 4.71 | 0.42 | 0.04 | 6.95 | 2.45 | 1.28 | 2.89 | 7.41 | 26.73 | 2.83 | 3.07 | 6.97 | 5.31 | 73.28 | 20.27 |
IN | 18 | 1.85 | 0.34 | 5.27 | 3.83 | 4.10 | 2.95 | 6.37 | 2.71 | 4.39 | 1.30 | 0.39 | 3.95 | 3.20 | 2.13 | 3.02 | 4.90 | 3.89 | 30.90 | 4.67 | 5.06 | 4.83 | 69.12 | 18.52 |
CN | 19 | 2.75 | 0.47 | 6.53 | 2.53 | 4.27 | 2.87 | 7.41 | 3.73 | 5.37 | 1.26 | 0.10 | 4.25 | 3.49 | 2.26 | 2.69 | 6.02 | 4.42 | 4.58 | 23.96 | 5.59 | 5.53 | 76.07 | 20.60 |
ZA | 20 | 2.43 | 0.16 | 8.08 | 3.12 | 7.20 | 1.04 | 10.08 | 1.56 | 7.18 | 0.52 | 0.21 | 6.46 | 2.22 | 1.23 | 3.42 | 8.11 | 5.25 | 2.08 | 1.95 | 20.86 | 6.92 | 79.18 | 17.39 |
US | 21 | 3.78 | 0.61 | 9.11 | 1.97 | 5.09 | 0.59 | 13.00 | 0.58 | 6.12 | 0.46 | 0.08 | 4.32 | 2.29 | 0.83 | 2.28 | 8.16 | 4.94 | 1.66 | 1.30 | 4.55 | 28.34 | 71.67 | 20.61 |