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

Salisu, Afees A.; Obiora, Kingsley

doi:10.1186/s40854-021-00253-1

Financial Innovation

Table 6 Unit root test results

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 Sample (2004-09-30 to 2020-12-30)
ADF [I(0)]	− 69.645^a	− 37.086^a	− 72.413^a	− 50.688^a	− 68.015^a	− 67.559^a	− 70.154^a	− 68.742^a	− 50.469^a	− 49.927^a	− 64.852^a
NL [I(0)]	− 65.028^a	− 67.101^a	− 66.313^a	− 67.406^a	− 63.880^a	− 64.313^a	− 62.681^a	− 64.975^a	− 65.925^a	− 65.636^a	− 60.392^a
Break date	10/16/2008	11/05/2004	9/19/2008	10/14/2008	10/14/2008	10/14/2008	11/25/2008	8/24/2015	10/06/2004	11/05/2004	4/21/2020
Nobs	4068	4068	4068	4068	4068	4068	4068	4068	4068	4068	4068
Pre-COVID Sample (2004-09-30 to 2020-12-31)
ADF [I(0)]	− 47.715^a	− 41.698^a	− 70.343^a	− 49.830^a	− 66.328^a	− 63.672^a	− 34.996^a	− 65.861^a	− 49.649^a	− 49.311^a	− 61.038^a
NL [I(0)]	− 62.757^a	− 65.801^a	− 64.841^a	− 65.953^a	− 62.314^a	− 62.595^a	− 60.980^a	− 62.613^a	− 63.647^a	− 64.349^a	− 59.952^a
Break date	10/16/2008	10/13/2008	9/19/2008	10/14/2008	10/14/2008	10/14/2008	11/25/2008	8/24/2015	9/19/2008	10/10/2008	01/02/2009
Nobs	3818	3818	3818	3818	3818	3818	3818	3818	3818	3818	3818
COVID Sample (2020-01-01 to 2020-12-30)
ADF [I(0)]	− 17.600^a	− 16.857^a	− 17.561^a	− 16.594^a	− 16.264^a	− 19.295^a	− 14.340^a	− 17.992^a	− 18.396^a	− 14.839^a	− 16.653^a
NL [I(0)]	− 17.422^a	− 15.681^a	− 15.770^a	− 14.541^a	− 14.466^a	− 14.188^a	− 15.218^a	− 17.667^a	− 18.387^a	− 14.463^a	− 16.495^a
Break date	04/07/2020	3/23/2020	03/12/2020	03/12/2020	03/12/2020	3/16/2020	3/17/2020	3/12/2020	03/12/2020	3/23/2020	4/21/2020
Nobs	249	249	249	249	249	249	249	249	249	249	249

ADF is the Augmented Dickey Fuller unit root test; NL is the GARCH-based unit root test with structural breaks proposed by Narayan and Liu (2015) and it is considered an alternative to the Narayan and Popp (2010) test due to the data frequency used in this study (see also Salisu and Adeleke 2016). Both unit root tests are conducted with a constant and a time trend. For want of space here, we use the superscripts a, b and c to denote statistical significance at 1%, 5% and 10% levels, respectively

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