**Appendix A**


**Table A1.** Results of the stationarity test for daily returns time series.

Source: Authors' calculations.

**Table A2.** Descriptive statistics for (logarithmic) daily returns.



**Table A3.** Pearson correlation coefficients for full sample of daily returns.

Source: Authors' calculations.

**Table A4.** Results of linear quantile regression models for daily (logarithmic) returns.



**Table A5.** Results of VAR (2) model for daily (logarithmic) returns of cross-sectoral indices.


**Table A6.** Results of VAR (2) model for daily (logarithmic) returns of financial sector indices.
