Variance decomposition of market i illiquidity to own and other market illiquidity and volatility.

This table presents the variance decompositions computed from a six-variable VAR for market i and CSI300 market. All variables are adjusted for deterministic time series variations. Illiquidity is measured using the Amihud measure for each stock and is averaged across stocks for each market. We choose the number of lags based on the SC and HQ criteria. The sample runs from January 1, 2010 to March 22, 2021.