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. 2023 Jun 29. Online ahead of print. doi: 10.1016/j.iref.2023.06.039

Table 6.

Hedging effectiveness.

PRE COVID-19
 During COVID-19
 PRE-WAR
 During WAR
Pairs (Bitcoin/Markets) Dynamic Portfolio Weights
 Dynamic hedge ratios
 Dynamic Portfolio Weights
 Dynamic hedge ratios
 Dynamic Portfolio Weights
 Dynamic hedge ratios
 Dynamic Portfolio Weights
 Dynamic hedge ratios
HE p-value HE p-value HE p-value HE p-value HE p-value HE p-value HE p-value HE p-value
BITCOIN/GOLD 0.83 0 0 0.99 0.65 0 0.11 0.43 0.8 0 0.02 0.72 0.85 0 0 0.99
BITCOIN/OIL 0.81 0 0 0.98 0.28 0.02 0.09 0.51 0.74 0 0.02 0.6 0.59 0 0 0.99
BITCOIN/ARGENTINA 0.79 0 0 0.96 0.46 0 0.11 0.42 0.72 0 0.02 0.64 0.65 0 0.07 0.7
BITCOIN/AUSTRALIA 0.95 0 0 0.99 0.76 0 0.11 0.44 0.92 0 0.03 0.51 0.89 0 0 0.99
BITCOIN/BRAZIL 0.85 0 0 0.98 0.44 0 0.19 0.15 0.8 0 0.04 0.44 0.83 0 0.04 0.84
BITCOIN/CANADA 0.96 0 0 0.99 0.69 0 0.27 0.03 0.92 0 0.1 0.03 0.9 0 0.02 0.9
BITCOIN/CHINA 0.92 0 0 0.98 0.91 0 0.05 0.74 0.91 0 0 0.95 0.83 0 0 0.99
BITCOIN/FRANCE 0.95 0 0 0.99 0.77 0 0.22 0.09 0.92 0 0.04 0.41 0.78 0 0.04 0.85
BITCOIN/GERMANY 0.95 0 0 1 0.78 0 0.21 0.1 0.92 0 0.04 0.39 0.8 0 0.05 0.78
BITCOIN/INDIA 0.95 0 0 1 0.8 0 0.04 0.78 0.93 0 0 0.94 0.82 0 0 0.98
BITCOIN/INDONESIA 0.93 0 0 0.96 0.75 0 0.02 0.89 0.9 0 0 0.95 0.92 0 0.03 0.87
BITCOIN/ITALY 0.92 0 0 0.99 0.7 0 0.3 0.01 0.89 0 0.04 0.39 0.74 0 0.06 0.74
BITCOIN/JAPAN 0.95 0 0 0.99 0.92 0 0.05 0.7 0.94 0 0 0.92 0.91 0 0 1
BITCOIN/KOREA 0.93 0 0 0.96 0.8 0 0.02 0.89 0.91 0 0 1 0.87 0 0 0.98
BITCOIN/MEXICO 0.92 0 0 0.97 0.71 0 0.12 0.39 0.88 0 0.02 0.62 0.88 0 0.04 0.82
BITCOIN/RUSSIA 0.9 0 0 0.99 0.67 0 0.15 0.26 0.85 0 0.03 0.56 0.58 0 0.04 0.85
BITCOIN/SAUDI.ARABIA 0.95 0 0.01 0.92 0.76 0 0.02 0.89 0.93 0 0.01 0.91 0.92 0 0 1
BITCOIN/SOUTH.AFRICA 0.86 0 0 0.99 0.7 0 0.11 0.43 0.84 0 0.02 0.74 0.81 0 0.01 0.95
BITCOIN/TURKEY 0.84 0 0 0.98 0.81 0 0.07 0.59 0.81 0 0.01 0.87 0.82 0 0 1
BITCOIN/UK 0.95 0 0 0.99 0.78 0 0.2 0.12 0.92 0 0.03 0.45 0.86 0 0.03 0.87
BITCOIN/USA 0.97 0 0 0.95 0.71 0 0.22 0.08 0.93 0 0.07 0.13 0.83 0 0.15 0.39
BITCOIN/EU 0.96 0 0 1 0.8 0 0.24 0.06 0.93 0 0.04 0.34 0.79 0 0.05 0.79
PRE COVID-19
 During COVID-19
 PRE-WAR
 During WAR
Pairs (Gold/Markets) Dynamic Portfolio Weights
 Dynamic hedge ratios
 Dynamic Portfolio Weights
 Dynamic hedge ratios
 Dynamic Portfolio Weights
 Dynamic hedge ratios
 Dynamic Portfolio Weights
 Dynamic hedge ratios
HE p-value HE p-value HE p-value HE p-value HE p-value HE p-value HE p-value HE p-value
GOLD/OIL 0.4 0 0.02 0.76 −0.08 0.6 0.01 0.94 0.32 0 0.01 0.78 −0.03 0.87 0.15 0.4
GOLD/ARGENTINA 0.57 0 0 0.94 0.2 0.13 0.02 0.87 0.46 0 0.01 0.78 0.13 0.47 0.13 0.46
GOLD/AUSTRALIA 0.8 0 0.01 0.9 0.39 0 0.03 0.84 0.71 0 0.03 0.55 0.55 0 0.07 0.71
GOLD/BRAZIL 0.47 0 0.05 0.41 0.21 0.1 −0.02 0.87 0.42 0 0.03 0.57 0.31 0.05 0.12 0.52
GOLD/CANADA 0.83 0 0.06 0.28 0.39 0 0 1 0.74 0 0.04 0.37 0.59 0 0.07 0.69
GOLD/CHINA 0.67 0 0.01 0.86 0.8 0 0.02 0.88 0.69 0 0.01 0.91 0.33 0.04 0.07 0.72
GOLD/FRANCE 0.82 0 0 0.94 0.46 0 −0.01 0.97 0.74 0 0.01 0.79 0.49 0 −0.01 0.94
GOLD/GERMANY 0.81 0 0 0.96 0.45 0 0.01 0.96 0.73 0 0.02 0.68 0.52 0 −0.03 0.89
GOLD/INDIA 0.83 0 0 1 0.53 0 −0.01 0.93 0.77 0 0 0.94 0.55 0 0.02 0.9
GOLD/INDONESIA 0.75 0 0 0.98 0.48 0 0.01 0.97 0.69 0 −0.01 0.87 0.65 0 0.04 0.83
GOLD/ITALY 0.72 0 0 1 0.43 0 −0.03 0.85 0.66 0 −0.01 0.9 0.45 0 −0.03 0.87
GOLD/JAPAN 0.8 0 0.01 0.92 0.76 0 0.04 0.8 0.79 0 0.01 0.85 0.63 0 0.04 0.84
GOLD/KOREA 0.79 0 0 0.99 0.54 0 −0.02 0.89 0.72 0 0 0.98 0.56 0 0.01 0.95
GOLD/MEXICO 0.72 0 0.02 0.71 0.44 0 −0.01 0.95 0.65 0 0.01 0.75 0.6 0 0.04 0.84
GOLD/RUSSIA 0.63 0 0.01 0.81 0.36 0 0 0.98 0.56 0 0.02 0.71 0.28 0.08 0.01 0.97
GOLD/SAUDI.ARABIA 0.79 0 0 0.95 0.56 0 0.03 0.83 0.75 0 0 0.99 0.69 0 0.03 0.87
GOLD/SOUTH.AFRICA 0.56 0 0.03 0.61 0.31 0.01 0.02 0.88 0.51 0 0.04 0.35 0.41 0.01 0.09 0.63
GOLD/TURKEY 0.57 0 0.01 0.87 0.56 0 0.04 0.79 0.52 0 0.01 0.8 0.47 0 0.01 0.97
GOLD/UK 0.83 0 0.01 0.85 0.45 0 0.01 0.93 0.74 0 0.03 0.56 0.56 0 0 1
GOLD/USA 0.87 0 0.02 0.72 0.44 0 −0.02 0.9 0.78 0 0.03 0.56 0.54 0 0.01 0.95
GOLD/EU 0.84 0 0.01 0.92 0.5 0 −0.01 0.97 0.76 0 0.02 0.73 0.49 0 −0.02 0.91
GOLD/BITCOIN 0.41 0 0 0.99 0.03 0.86 0.01 0.94 0.29 0 0.01 0.81 0.16 0.37 0.02 0.94
PRE COVID-19
 During COVID-19
 PRE-WAR
 During WAR
Pairs (OIL/Markets) Dynamic Portfolio Weights
 Dynamic hedge ratios
 Dynamic Portfolio Weights
 Dynamic hedge ratios
 Dynamic Portfolio Weights
 Dynamic hedge ratios
 Dynamic Portfolio Weights
 Dynamic hedge ratios
HE p-value HE p-value HE p-value HE p-value HE p-value HE p-value HE p-value HE p-value
OIL/GOLD 0.49 0 0.02 0.7 0.81 0 0.04 0.79 0.66 0 0.02 0.61 0.77 0 0.2 0.25
OIL/ARGENTINA 0.54 0 0.01 0.82 0.73 0 0.17 0.2 0.6 0 0.04 0.39 0.64 0 0.02 0.91
OIL/AUSTRALIA 0.82 0 0.03 0.58 0.86 0 0.12 0.4 0.83 0 0.05 0.3 0.86 0 0.03 0.87
OIL/BRAZIL 0.5 0 0.09 0.09 0.69 0 0.15 0.27 0.59 0 0.1 0.02 0.8 0 0.06 0.73
OIL/CANADA 0.85 0 0.26 0 0.84 0 0.22 0.08 0.84 0 0.19 0 0.89 0 0.02 0.9
OIL/CHINA 0.7 0 0.02 0.78 0.96 0 0.08 0.57 0.83 0 0.02 0.71 0.78 0 0.06 0.74
OIL/FRANCE 0.82 0 0.08 0.16 0.88 0 0.09 0.53 0.84 0 0.08 0.06 0.79 0 0 0.99
OIL/GERMANY 0.81 0 0.06 0.31 0.88 0 0.09 0.49 0.84 0 0.07 0.12 0.84 0 0.04 0.82
OIL/INDIA 0.84 0 0.01 0.88 0.88 0 −0.02 0.89 0.86 0 0 0.95 0.79 0 0.03 0.89
OIL/INDONESIA 0.77 0 0.01 0.84 0.82 0 −0.02 0.9 0.8 0 0 0.92 0.9 0 0.03 0.87
OIL/ITALY 0.71 0 0.09 0.1 0.85 0 0.02 0.86 0.78 0 0.08 0.09 0.77 0 −0.01 0.97
OIL/JAPAN 0.83 0 0 0.97 0.96 0 −0.01 0.95 0.89 0 −0.01 0.88 0.88 0 0.02 0.93
OIL/KOREA 0.81 0 0.02 0.79 0.88 0 0.01 0.93 0.83 0 0.01 0.9 0.83 0 0.03 0.87
OIL/MEXICO 0.74 0 0.08 0.16 0.85 0 0.11 0.44 0.79 0 0.08 0.08 0.87 0 0.01 0.97
OIL/RUSSIA 0.6 0 0.15 0 0.84 0 0.29 0.02 0.71 0 0.15 0 0.4 0.01 0.07 0.72
OIL/SAUDI.ARABIA 0.8 0 0.02 0.73 0.91 0 0.1 0.48 0.86 0 0.03 0.46 0.9 0 0.01 0.94
OIL/SOUTH.AFRICA 0.57 0 0.07 0.18 0.83 0 0.08 0.56 0.7 0 0.06 0.16 0.78 0 0.02 0.9
OIL/TURKEY 0.61 0 0.01 0.84 0.91 0 0.06 0.69 0.72 0 0.02 0.67 0.8 0 0 1
OIL/UK 0.83 0 0.13 0.01 0.88 0 0.09 0.49 0.85 0 0.11 0.01 0.85 0 −0.01 0.97
OIL/USA 0.88 0 0.09 0.1 0.86 0 0.15 0.28 0.86 0 0.11 0.01 0.84 0 0 1
OIL/EU 0.84 0 0.1 0.06 0.9 0 0.11 0.44 0.86 0 0.1 0.03 0.81 0 0 0.99
OIL/BITCOIN 0.45 0 0 0.97 0.65 0 0.02 0.9 0.52 0 0 0.95 0.51 0 0 1
PRE COVID-19
 During COVID-19
 PRE-WAR
 During WAR
Pairs (EU/Markets) Dynamic Portfolio Weights
 Dynamic hedge ratios
 Dynamic Portfolio Weights
 Dynamic hedge ratios
 Dynamic Portfolio Weights
 Dynamic hedge ratios
 Dynamic Portfolio Weights
 Dynamic hedge ratios
HE p-value HE p-value HE p-value HE p-value HE p-value HE p-value HE p-value HE p-value
EU/GOLD 0.17 0 0.01 0.89 0.04 0.77 0 0.99 0.11 0.01 0.01 0.76 0.59 0 −0.01 0.97
EU/OIL 0.03 0.6 0.07 0.2 −0.13 0.39 −0.08 0.59 −0.02 0.62 0.02 0.63 0.31 0.05 0 1
EU/ARGENTINA 0.1 0.08 0.04 0.43 −0.1 0.5 0.29 0.02 0 0.97 0.1 0.02 0.08 0.66 0.26 0.12
EU/AUSTRALIA 0.24 0 0.2 0 −0.05 0.74 0.43 0 0.12 0.01 0.28 0 0.47 0 0.36 0.02
EU/BRAZIL 0.04 0.47 0.18 0 −0.07 0.65 0.5 0 −0.02 0.72 0.26 0 0.31 0.05 0.45 0
EU/CANADA 0.27 0 0.42 0 0.05 0.74 0.66 0 0.18 0 0.54 0 0.62 0 0.18 0.31
EU/CHINA 0.26 0 0.05 0.36 0.62 0 0.11 0.4 0.38 0 0.05 0.23 0.28 0.09 0.28 0.09
EU/FRANCE 0 0.97 0.94 0 0 0.98 0.98 0 0 0.96 0.95 0 0 0.99 0.97 0
EU/GERMANY 0.04 0.44 0.89 0 0 0.97 0.97 0 0.01 0.77 0.92 0 0.13 0.46 0.79 0
EU/INDIA 0.33 0 0.15 0.01 0.1 0.47 0.33 0.01 0.23 0 0.23 0 0.26 0.13 0.42 0.01
EU/INDONESIA 0.29 0 0.09 0.1 −0.03 0.86 0.14 0.28 0.19 0 0.1 0.02 0.68 0 0.09 0.62
EU/ITALY −0.01 0.86 0.75 0 −0.05 0.74 0.87 0 −0.02 0.71 0.79 0 0.01 0.96 0.89 0
EU/JAPAN 0.36 0 0.03 0.6 0.54 0 0.14 0.28 0.42 0 0.06 0.21 0.6 0 0.07 0.69
EU/KOREA 0.25 0 0.14 0.01 0.12 0.37 0.28 0.02 0.17 0 0.16 0 0.41 0.01 0.2 0.25
EU/MEXICO 0.13 0.02 0.28 0 −0.09 0.55 0.52 0 0.04 0.35 0.36 0 0.5 0 0.35 0.03
EU/RUSSIA 0.08 0.13 0.27 0 −0.09 0.57 0.59 0 0.01 0.76 0.36 0 0.23 0.19 0.06 0.76
EU/SAUDI.ARABIA 0.34 0 0.07 0.19 0.14 0.31 0 0.99 0.33 0 0.07 0.11 0.68 0 0.03 0.85
EU/SOUTH.AFRICA −0.03 0.65 0.39 0 −0.12 0.44 0.62 0 −0.07 0.12 0.43 0 0.23 0.17 0.46 0
EU/TURKEY 0.08 0.12 0.15 0.01 0.19 0.14 0.39 0 0.1 0.03 0.16 0 0.3 0.06 0.25 0.14
EU/UK 0.02 0.66 0.89 0 −0.04 0.81 0.87 0 0.01 0.79 0.85 0 0.34 0.03 0.81 0
EU/USA 0.42 0 0.24 0 −0.05 0.74 0.46 0 0.26 0 0.33 0 0.41 0.01 0.29 0.07
EU/BITCOIN 0.2 0 0 0.99 −0.09 0.54 0.11 0.44 0.03 0.51 0.02 0.74 0.08 0.68 0.04 0.84

Notes: This table illustrate the hedging effectiveness, among bitcoin, gold, oil and G20 markets in pre and during Covid-19 and War.