Skip to main content

Table 2 Summary statistics for non-energy ETFs and oil returns

From: COVID-19 pandemic and the crude oil market risk: hedging options with non-energy financial innovations

 

Consumer discretionary

Consumer staples

Financials

Health

Industrials

Materials

Real estate

Technology

Telecom

Utilities

Oil

Full data sample (8/01/2004 to 12/30/2020)

           

Mean

0.040

0.028

0.006

0.033

0.028

0.024

0.013

0.054

0.022

0.022

0.040

Maximum

12.316

11.534

25.090

10.244

10.061

11.207

19.487

9.542

26.304

12.367

12.316

Minimum

 − 14.565

 − 11.673

 − 19.660

 − 13.705

 − 14.255

 − 20.510

 − 16.546

 − 11.364

 − 14.585

 − 10.746

 − 14.565

Std. Dev

1.462

1.000

2.019

1.150

1.414

1.582

1.897

1.329

1.399

1.194

1.462

Skewness

 − 0.603

 − 1.057

0.303

 − 0.685

 − 0.575

 − 0.934

 − 0.200

 − 0.671

1.024

 − 0.497

 − 0.603

Kurtosis

17.637

24.383

22.990

15.522

13.682

17.431

20.136

10.602

45.652

16.146

17.637

Before COVID-19 (8/01/2004 to 12/31/2019)

           

Mean

0.037

0.028

0.007

0.033

0.028

0.021

0.016

0.048

0.017

0.025

0.010

Maximum

0.087

0.040

0.054

0.083

0.071

0.073

0.068

0.131

0.045

0.060

0.036

Minimum

 − 14.565

 − 11.673

 − 19.660

 − 13.705

 − 14.255

 − 14.782

 − 16.546

 − 11.364

 − 14.585

 − 10.746

 − 16.832

Std. Dev

1.403

0.952

1.969

1.107

1.332

1.496

1.868

1.262

1.359

1.112

2.150

Skewness

 − 0.517

 − 0.881

0.451

 − 0.665

 − 0.524

 − 0.537

 − 0.149

 − 0.570

1.360

 − 0.165

0.124

Kurtosis

18.880

26.295

25.529

17.004

13.953

11.765

21.854

11.048

52.910

15.618

7.807

COVID-19 sample (1/2/2020 to 12/30/2020)

           

Mean

0.100

0.027

 − 0.021

0.042

0.030

0.063

 − 0.038

0.159

0.101

 − 0.018

0.100

Maximum

8.923

5.148

8.774

4.795

8.319

10.899

7.942

6.055

6.238

6.594

8.923

Minimum

 − 10.963

 − 9.144

 − 12.379

 − 7.824

 − 11.780

 − 20.510

 − 10.911

 − 9.031

 − 9.296

 − 10.511

 − 10.963

Std. Dev

2.181

1.567

2.679

1.676

2.338

2.571

2.314

2.104

1.911

2.081

2.181

Skewness

 − 0.914

 − 1.470

 − 0.616

 − 0.689

 − 0.599

 − 1.976

 − 0.585

 − 0.979

 − 1.012

 − 1.111

 − 0.914

Kurtosis

8.782

11.278

6.967

6.572

7.403

20.422

6.547

5.831

6.926

9.015

8.782