From: Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities
 | Put Replication | Gold - Hedged | Oil - Hedged | Uninsured |
---|---|---|---|---|
Crisis | ||||
Indonesia: | ||||
 HE | 0.653 | 0.586 | 0.374 | 0.000 |
 SR | 0.078 | 0.070 | −0.089 | −0.079 |
 Drawdown | −0.134 | −0.169 | −0.341 | −0.379 |
 Omega | 1.081 | 0.976 | 0.891 | 1.065 |
Malaysia: | ||||
 HE | 0.999 | 0.379 | −0.091 | 0.000 |
 SR | 0.017 | 0.057 | −0.093 | −0.068 |
 Drawdown | −0.091 | −0.063 | − 0.272 | −0.240 |
 Omega | 1.197 | 1.110 | 0.764 | 0.800 |
Philippines: | ||||
 HE | 1.000 | 0.596 | 0.369 | 0.000 |
 SR | −0.011 | 0.013 | −0.084 | −0.103 |
 Drawdown | −0.105 | −0.116 | − 0.283 | −0.440 |
 Omega | 0.991 | 0.964 | 0.775 | 0.753 |
Thailand | ||||
 HE | 1.000 | 0.581 | 0.218 | 0.000 |
 SR | 0.042 | 0.001 | −0.116 | −0.091 |
 Drawdown | −0.057 | − 0.143 | −0.377 | − 0.382 |
 Omega | 1.124 | 0.996 | 0.714 | 0.816 |
Singapore: | ||||
 HE | 1.000 | 0.616 | 0.285 | 0.000 |
 SR | −0.019 | −0.011 | −0.123 | − 0.115 |
 Drawdown | −0.066 | − 0.189 | −0.386 | − 0.570 |
 Omega | 0.945 | 0.921 | 0.688 | 0.691 |
Post-crisis | ||||
Indonesia: | ||||
 HE | 0.862 | 0.434 | 0.151 | 0.000 |
 SR | 0.210 | 0.251 | 0.245 | 0.212 |
 Drawdown | −0.096 | −0.085 | −0.106 | −0.051 |
 Omega | 1.788 | 1.883 | 1.810 | 1.947 |
Malaysia: | ||||
 HE | 0.939 | 0.099 | −1.369 | 0.000 |
 SR | 0.215 | 0.252 | 0.301 | 0.205 |
 Drawdown | −0.046 | −0.052 | −0.091 | −0.056 |
 Omega | 1.714 | 1.896 | 1.759 | 1.761 |
Philippines: | ||||
 HE | 0.384 | 0.481 | −0.021 | 0.000 |
 SR | 0.199 | 0.245 | 0.225 | 0.194 |
 Drawdown | −0.061 | −0.083 | − 0.110 | −0.057 |
 Omega | 1.696 | 1.854 | 1.716 | 1.789 |
Thailand: | ||||
 HE | 0.941 | 0.400 | −0.030 | 0.000 |
 SR | 0.202 | 0.222 | 0.214 | 0.196 |
 Drawdown | −0.062 | −0.080 | − 0.063 | −0.068 |
 Omega | 1.714 | 1.769 | 1.681 | 1.816 |
Singapore: | ||||
 HE | 0.992 | 0.481 | 0.020 | 0.000 |
 SR | 0.104 | 0.260 | 0.167 | 0.188 |
 Drawdown | −0.109 | −0.078 | −0.101 | −0.184 |
 Omega | 1.362 | 1.533 | 1.497 | 1.384 |
Normal | ||||
Indonesia: | ||||
 HE | 0.370 | 0.500 | −0.184 | 0.000 |
 SR | 0.040 | 0.034 | −0.012 | 0.068 |
 Drawdown | −0.076 | −0.133 | − 0.433 | −0.074 |
 Omega | 1.216 | 1.059 | 0.943 | 1.232 |
Malaysia: | ||||
 HE | 0.954 | −0.047 | −1.800 | 0.000 |
 SR | 0.017 | −0.003 | −0.034 | 0.019 |
 Drawdown | −0.041 | −0.131 | − 0.438 | −0.046 |
 Omega | 1.043 | 0.975 | 0.897 | 1.077 |
Philippines: | ||||
 HE | 0.979 | 0.455 | −0.188 | 0.000 |
 SR | 0.067 | 0.037 | −0.008 | 0.077 |
 Drawdown | −0.050 | −0.064 | − 0.378 | −0.048 |
 Omega | 1.192 | 1.057 | 0.946 | 1.256 |
Thailand: | ||||
 HE | 0.992 | 0.420 | −0.409 | 0.000 |
 SR | 0.042 | 0.035 | −0.011 | 0.063 |
 Drawdown | −0.067 | −0.060 | − 0.410 | −0.055 |
 Omega | 1.200 | 1.063 | 0.946 | 1.226 |
Singapore: | ||||
 HE | 0.997 | 0.322 | −0.782 | 0.000 |
 SR | 0.022 | 0.004 | −0.032 | 0.024 |
 Drawdown | −0.036 | −0.186 | − 0.486 | −0.042 |
 Omega | 1.065 | 0.976 | 0.891 | 1.081 |
Full Sample | ||||
Indonesia: | ||||
 HE | 0.517 | 0.507 | 0.113 | 0.000 |
 SR | 0.109 | 0.118 | 0.048 | 0.067 |
 Drawdown | −0.102 | −0.129 | −0.293 | −0.168 |
 Omega | 1.429 | 1.302 | 1.169 | 1.350 |
Malaysia: | ||||
 HE | 0.964 | 0.144 | −1.087 | 0.000 |
 SR | 0.083 | 0.102 | 0.058 | 0.052 |
 Drawdown | −0.059 | −0.082 | −0.267 | −0.114 |
 Omega | 1.318 | 1.327 | 1.140 | 1.213 |
Philippines: | ||||
 HE | 0.599 | 0.511 | 0.054 | 0.000 |
 SR | 0.085 | 0.099 | 0.044 | 0.056 |
 Drawdown | −0.072 | −0.087 | −0.257 | −0.182 |
 Omega | 1.293 | 1.291 | 1.146 | 1.266 |
Thailand: | ||||
 HE | 0.978 | 0.467 | −0.074 | 0.000 |
 SR | 0.086 | 0.096 | 0.029 | 0.056 |
 Drawdown | −0.062 | −0.094 | − 0.283 | −0.168 |
 Omega | 1.346 | 1.276 | 1.114 | 1.286 |
Singapore: | ||||
 HE | 0.996 | 0.473 | −0.159 | 0.000 |
 SR | 0.036 | 0.084 | 0.004 | 0.033 |
 Drawdown | −0.070 | −0.151 | − 0.324 | −0.265 |
 Omega | 1.124 | 1.188 | 1.111 | 1.240 |