Table 1.
Summary statistics for the average sector liquidity measure for the 11 sectors in the S&P 500 index.
The Jarque-Bera statistic tests the null hypothesis of normality for the sample returns.
Table 2.
Summary of liquidity spillovers in all the sectors for the entire period.
The forecast horizon is H = 30. The optimal lag order is determined by the AIC. Notes: TSI = total spillover index in (6); FROM = DSi⋅(H) in (7), total liquidity spillovers received by the i-th sector from all other sectors; TO = DS⋅i(H) in (8), total liquidity spillovers transmitted by the i-th sector to all other sectors; TO (own) = total liquidity spillovers generated by the i-th sector, including the contribution of its own; NET = NSi(H) in (9), net spillovers (the difference between transmitted liquidity shocks and received liquidity shocks).
Table 3.
Summary of liquidity spillovers in all the sectors during the GFC (from August 2007 to March 2009).
The optimal lag order according to the AIC is 6.
Table 4.
Summary of liquidity spillovers in all the sectors during the COVID-19 pandemic period (from January 2020 to March 2022).
The optimal lag order according to the AIC is 5.
Fig 1.
Rolling-windows estimation of the total spillover index and S&P 500 index from October 2004 to March 2022.
Fig 2.
Sector’s dynamic net spillover.