Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities

Financial Innovation

Table 1 Descriptive statistics

	Gold	Oil	Indonesia	Malaysia	Philippines	Thailand	Singapore
Mean (%)	0.15	0.03	0.20	0.07	0.15	0.13	0.01
Med. (%)	0.23	0.18	0.36	0.18	0.25	0.35	0.16
Max (%)	16.32	16.80	11.59	6.65	11.02	10.75	15.32
Min (%)	−11.43	− 17.07	−23.30	−9.71	−20.15	−26.66	− 16.47
Std. Dev (%)	2.56	4.09	2.97	1.73	2.74	2.65	2.52
Skewness (%)	22.53	−4.16	−129.98	−81.94	−94.90	− 185.11	−38.05
Kurtosis	8.43	4.69	11.97	7.19	9.76	20.19	11.07
JB	774.75^***	75.12^***	2277.89^***	528.06^***	1287.86^***	8074.04^***	1715.04^***
Q(19)	28.92^*	75.46^***	29.85^*	29.32^*	29.52^*	47.75^***	26.18^*
Obs*R-squared	22.64^***	35.31^***	8.49^***	17.41^***	7.03^***	2.82^*	29.76^***
n	627	627	627	627	627	627	627

Notes: The table shows the descriptive stats for the weekly index returns as well as gold and oil
JB is the value of Jarque Bera for normality testing. Q (19) is the q-stat of the correlogram test for serial correlation at 19 lags. The Obs*R-squared is the ARCH test
^{*** , *}Statistical significance at 1% and 10%