\( {R}_{m,t}^c \) | \( {R}_{a,t}^c \) | \( {R}_{d,t}^c \) | |
---|---|---|---|
Spillover direction | |||
The US to China (ai, 21 = bi, 21 = di, 21 = 0) | 6.878*** [0.000] | 5.105** [0.002] | 8.646*** [0.000] |
China to the US (ai, 12 = bi, 12 = di, 12 = 0) | 10.945*** [0.000] | 5.732*** [0.000] | 14.769*** [0.000] |