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Future Business Journal

Table 4 Static return spillover (quantile = 0.50)

From: Connectedness and spillover between African equity, commodity, foreign exchange and cryptocurrency markets during the COVID-19 and Russia-Ukraine conflict

 

BOT

BRV

EGY

KEN

MAU

MOR

NAM

NIG

RSA

TUN

BIT

BRT

COP

ETH

EUR

GAS

GBP

GLD

PTM

SLV

From

BOT

70.26

1.27

1.68

1.48

2.20

1.95

2.14

1.23

1.97

2.04

0.67

1.32

1.48

0.99

1.76

1.65

3.34

1.14

0.79

1.64

29.74

BRV

5.96

51.34

2.18

2.71

3.17

2.73

2.82

2.43

2.70

3.78

1.18

2.14

2.46

1.32

2.55

2.08

2.09

2.20

1.76

2.39

48.66

EGY

5.66

2.39

41.72

4.47

3.58

3.88

3.33

2.61

3.49

2.19

1.79

3.19

2.84

1.86

3.99

2.36

2.74

2.17

2.10

2.64

58.28

KEN

6.69

2.07

2.96

45.38

3.89

3.36

3.22

3.35

4.24

2.87

1.66

2.20

2.43

1.54

2.52

2.32

2.94

2.19

2.20

1.97

54.62

MAU

6.12

2.41

1.63

2.97

52.68

2.95

3.56

2.20

3.88

2.29

1.56

2.79

2.17

1.56

1.97

1.97

1.92

1.94

1.23

2.21

47.32

MOR

5.48

2.28

2.59

3.23

2.93

44.38

3.58

2.23

2.73

3.20

2.20

2.26

3.86

2.36

4.04

1.63

4.19

2.20

2.10

2.54

55.62

NAM

7.24

1.73

1.79

2.49

4.95

2.06

37.95

1.96

15.62

1.95

1.28

3.70

2.28

1.23

2.21

1.72

3.12

1.77

2.77

2.16

62.05

NIG

8.11

2.74

2.18

3.19

2.49

2.02

2.27

53.20

2.08

1.81

1.61

1.77

2.39

1.74

2.52

1.72

2.36

1.92

1.75

2.12

46.80

RSA

7.31

2.42

2.24

3.61

4.21

3.41

12.32

2.18

35.47

2.54

1.72

2.25

2.29

1.77

3.06

1.82

3.44

2.35

2.93

2.66

64.53

TUN

5.45

3.20

2.94

2.83

2.64

3.91

3.08

2.51

3.98

46.76

1.68

2.43

3.34

1.75

2.48

2.37

3.30

2.15

1.54

1.65

53.24

BIT

1.72

1.50

1.88

1.56

1.93

3.14

1.50

1.67

2.12

1.95

40.28

1.52

2.07

24.21

2.65

1.22

2.18

1.85

2.77

2.18

59.72

BRT

4.51

2.16

2.77

3.12

3.46

3.41

5.04

1.93

4.75

3.06

1.67

40.15

4.32

1.67

2.36

2.52

3.42

3.06

3.57

3.05

59.85

COP

6.90

1.97

3.19

3.12

2.37

4.22

2.50

2.71

3.45

2.46

1.76

3.44

40.86

1.68

3.61

2.00

3.42

2.90

4.03

3.52

59.14

ETH

2.93

1.79

2.03

1.58

1.99

3.26

1.59

1.76

2.07

1.45

23.23

1.52

2.06

40.62

2.65

1.26

1.93

1.75

2.48

2.04

59.38

EUR

8.09

2.39

1.95

2.63

2.46

4.60

2.50

2.06

3.37

2.50

1.92

2.18

3.09

1.96

31.11

1.83

10.37

5.51

4.43

5.05

68.89

GAS

6.96

2.99

2.90

3.04

3.91

2.59

3.26

2.99

3.14

3.19

1.43

2.35

2.26

1.53

3.23

44.87

2.71

2.18

1.83

2.64

55.13

GBP

7.56

2.15

1.81

3.11

2.53

3.73

3.89

2.13

4.33

2.74

2.00

2.61

3.67

1.60

10.01

2.04

32.73

3.78

3.32

4.26

67.27

GLD

5.88

1.64

1.99

1.69

1.99

3.31

2.02

2.40

2.77

1.66

1.46

2.75

2.88

1.30

5.63

1.32

3.70

31.30

7.85

16.46

68.70

PTM

5.79

1.63

1.91

2.16

2.04

3.13

2.99

1.49

3.12

1.39

3.04

3.23

4.22

2.42

3.78

1.65

3.09

7.34

37.65

7.92

62.35

SLV

5.96

1.52

1.80

1.97

2.05

3.59

2.37

2.82

3.07

1.60

1.73

2.56

3.38

1.51

4.93

1.65

3.78

16.14

8.71

28.86

71.14

To

114.31

40.34

42.43

50.96

54.80

61.28

63.98

42.66

72.88

44.68

53.60

46.21

54.49

54.00

65.95

35.12

62.93

64.53

58.17

69.09

TCI = 

57.67

Inc own

184.57

91.68

84.15

96.34

107.48

105.66

101.94

95.86

108.35

91.44

93.87

86.36

95.35

94.63

97.07

79.99

95.66

95.83

95.82

97.96

Net

84.57

− 8.32

− 15.85

− 3.66

7.48

5.66

1.94

− 4.14

8.35

− 8.56

− 6.13

− 13.64

− 4.65

− 5.37

− 2.93

− 20.01

− 4.34

− 4.17

− 4.18

− 2.04

  1. TCI denotes the total connectedness index. The variables are defined as follows: Botswana (BOT), Bourse Regionale des Valeur Mobilieres (BRVM), Egypt (EGY), Kenya (KEN), Mauritius (MAU), Morocco (MOR), Namibia (NAM), Nigeria (NIG), South Africa (RSA), Tunisia (TUN), Bitcoin (BIT), Brent crude oil (BRT), Copper (COP), Ethereum (ETH), Euro/Dollar (EUR), British pound/Dollar (GBP), Natural gas (GAS), Gold (GLD), Platinum (PLT) and Silver (SLV)
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