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Table 4 Sign Bias and Asymmetry Tests

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)

           

Sign bias

1.86*

0.84

1.20

2.25**

1.95*

2.14**

2.02**

2.11*

1.12

1.26

0.013

Negative bias

0.92

1.42

1.39

0.97

1.25

1.35

1.14

1.03

2.82***

1.14

2.79***

Positive bias

1.35

0.81

1.13

0.12

0.80

0.22

1.23

0.17

0.58

1.23

2.38**

Joint bias

16.85***

8.76**

10.98**

13.81***

17.40***

16.74***

17.00***

11.23**

19.99***

13.38***

21.04***

ES

13.93***

2.74

16.49***

13.49***

11.90***

9.87***

8.76**

14.25***

16.10***

6.30**

 

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

           

Sign bias

2.122**

0.879

1.187

1.799*

2.003*

2.070**

1.917*

2.614***

1.064

1.061

1.213

Negative bias

1.054

1.425

1.551

1.188

1.229

1.631

1.717*

1.459

2.980***

1.675*

0.830

Positive bias

1.127

0.170

1.083

0.056

0.587

0.156

0.602

1.047

0.391

0.429

1.819*

Joint bias

18.917***

6.595*

11.501***

11.42***

16.88**

18.60***

16.27***

31.53***

20.26***

11.36***

9.609**

ES

7.70**

1.735

5.772*

9.007**

12.16**

7.593**

7.53**

10.88***

9.302***

4.04

 

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

           

Sign bias

0.40

1.59

0.41

1.67*

0.98

0.37

1.68*

1.49

1.70*

0.73

0.47

Negative bias

0.46

0.36

0.60

0.60

1.05

0.23

1.70*

0.85

0.91

0.58

1.55

Positive bias

0.57

0.85

0.36

0.42

0.31

0.71

1.09

0.02

0.13

1.38

0.44

Joint bias

0.89

7.26*

0.67

3.29

1.95

0.56

7.61*

3.30

3.61

4.59

4.35

ES

2.62

1.37

8.32**

5.22*

0.91

0.52

0.17

3.79

4.24

0.82

 
  1. ES test is the Engle and Sheppard (2001) CCC \(\chi_{2}^{2}\) test; the values in parentheses denote the computed probability values. The superscripts ***, ** and * indicate statistical significance respectively at 1%, 5% and 10% levels.