Table 8.
Summary coefficients of time-varying hedging (segment A: January 04, 2010, to November 30, 2019).
| S&P500/GOLD | S&P500/Wheat | S&P500/WTI | S&P500/Beverages | S&P500/Brent OIL | |
|---|---|---|---|---|---|
| Minimum | −0.368325146 | −0.08306358 | −0.075627216 | −0.058666744 | 0.020320739 |
| Mean | 0.036644007 | 0.041304621 | 0.148755736 | 0.035427735 | 0.15337303 |
| Maximum |
0.474642493 |
0.4361979 |
0.683449336 |
0.423462685 |
0.689438076 |
|
GOLD/S&P500 |
Wheat/S&P 500 |
WTI/S&P500 |
Beverages/S&P500 |
Brent OIL/S&P500 |
|
| Minimum | −0.463681187 | −0.311608665 | −0.195982736 | −0.393391656 | 0.068605115 |
| Mean | 0.059503454 | 0.252088656 | 0.815892421 | 0.208946136 | 0.736528397 |
| Maximum | 0.664964014 | 1.727540552 | 2.245786607 | 1.185605397 | 2.189608561 |
Note: This table presents summary information of hedging ratios based on Eq. (11).