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