TABLE 3.

Correlation coefficients, pre‐Covid‐19 era

Variables	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)	(11)	(12)	(13)	(14)	(15)	(16)
(1) Realized volatility AUD	1.000
(2) Realized volatility CHF	−0.365	1.000
(3) Realized volatility EUR	0.644	−0.609	1.000
(4) Realized volatility GBP	0.455	−0.168	0.589	1.000
(5) Realized volatility HKD	−0.007	−0.052	0.031	0.095	1.000
(6) Realized volatility JPY	0.170	0.311	0.023	0.288	−0.032	1.000
(7) Realized volatility S&P500	0.217	0.205	−0.027	0.241	−0.178	0.512	1.000
(8) CHF returns	−0.294	0.800	−0.518	−0.233	−0.037	0.305	0.095	1.000
(9) EUR returns	0.515	−0.552	0.777	0.555	−0.004	−0.115	−0.017	−0.664	1.000
(10) HKD returns	−0.116	0.003	−0.153	−0.040	0.634	−0.079	−0.132	0.025	−0.100	1.000
(11) JPY returns	0.141	−0.015	0.096	0.112	0.137	0.045	0.040	−0.156	0.152	−0.067	1.000
(12) S&P500 returns	0.114	0.059	−0.026	0.165	−0.116	0.535	0.631	0.170	0.013	−0.120	−0.127	1.000
(13) Crude oil returns	−0.097	0.053	−0.129	−0.010	−0.188	0.254	0.176	0.038	−0.127	−0.185	−0.005	0.038	1.000
(14) Gold returns	−0.041	−0.343	0.204	−0.129	−0.120	−0.514	−0.228	−0.334	0.177	−0.119	−0.049	−0.368	0.101	1.000
(15) AUD returns	0.688	−0.264	0.395	0.396	−0.120	0.054	0.186	−0.350	0.572	−0.120	0.132	0.166	0.036	−0.043	1.000
(16) GBP returns	0.245	−0.214	0.397	0.779	0.030	0.133	0.184	−0.244	0.589	−0.021	0.068	0.281	0.072	−0.062	0.422	1.000