Table 12.
Summary of Hedge Ratio and Hedge Effectiveness (EST)
| Pre-COVID | COVID | Compare | |||||||
|---|---|---|---|---|---|---|---|---|---|
| Mean | Min | Max | HE | Mean | Min | Max | HE | ZPBMP | |
| EST /OIL | |||||||||
| DCC | 0.0219 | −0.2728 | 0.0903 | −0.0078 | 0.0118 | 0.0037 | 0.0251 | 0.0054 | 3.5095 a |
| ADCC | 0.0219 | −0.0242 | 0.0932 | 0.0078 | 0.0110 | 0.0029 | 0.0221 | 0.0033 | −0.1737 |
| GO-GARCH | 0.0218 | −0.0700 | 0.2465 | 0.0162 | 0.0002 | −0.0335 | 0.0332 | 0.0418 | 4.3115 a |
| EST /GOLD | |||||||||
| DCC | 0.3959 | −0.1596 | 0.8753 | 0.3741 | 0.2720 | 0.1504 | 0.3913 | 0.1968 | 0.1703 |
| ADCC | 0.3950 | −0.0162 | 0.9721 | 0.3759 | 0.2579 | 0.1223 | 0.3872 | 0.1981 | 0.0502 |
| GO-GARCH | −0.0369 | −0.3159 | 0.3620 | 0.0304 | 0.0884 | 0.0059 | 0.1646 | 0.0612 | 2.7468 a |
| EST /CBOND | |||||||||
| DCC | −0.8991 | −2.8866 | 1.1394 | 0.1024 | −0.8887 | −2.9518 | 0.9523 | 0.0730 | 0.5634 |
| ADCC | −0.8836 | −3.1827 | 1.3143 | 0.1216 | −0.8756 | −3.1601 | 1.0938 | 0.0860 | 0.2492 |
| GO-GARCH | −1.0947 | −4.3638 | 0.2301 | 0.0832 | −1.0868 | −4.4108 | 0.2541 | 0.0698 | 1.2650 |
| EST /CSTOCK | |||||||||
| DCC | 0.2126 | 0.0262 | 0.3577 | 0.3845 | 0.2010 | 0.1694 | 0.2244 | 0.4898 | 4.8488 a |
| ADCC | 0.2112 | 0.0236 | 0.3580 | 0.3893 | 0.1775 | 0.1668 | 0.2116 | 0.4877 | 5.1689 a |
| GO−GARCH | 0.2520 | 0.0100 | 0.5081 | 0.3941 | 0.1704 | 0.1097 | 0.1961 | 0.4830 | 3.1097 a |
Source: Authors’ computation with data sourced from DataStream
a, b, and c are the levels of statistical significance at 1%, 5%, and 10%, respectively. To examine the estimates of the two time periods (i.e., Covid vs pre-Covid), we use the bootstrapped version of the Paternoster et al. (1998) approach. The column “compare” shows the z-statistic that is based on the null hypothesis that the COVID-era coefficients are not greater than the pre-COVID coefficients