From: Interlinkages across US sectoral returns: time-varying interconnectedness and hedging effectiveness
 | Mean | Standard deviation | 5% | 95% | Hedging effectiveness | p-value |
---|---|---|---|---|---|---|
IND | 0.03 | 0.06 | 0.00 | 0.17 | 0.65 | 0.00 |
UTI | 0.11 | 0.07 | 0.00 | 0.23 | 0.63 | 0.00 |
EN | 0.07 | 0.07 | 0.00 | 0.21 | 0.87 | 0.00 |
MAT | 0.04 | 0.06 | 0.00 | 0.18 | 0.67 | 0.00 |
CS | 0.06 | 0.07 | 0.00 | 0.20 | 0.33 | 0.00 |
HC | 0.06 | 0.06 | 0.00 | 0.17 | 0.43 | 0.00 |
FIN | 0.09 | 0.09 | 0.00 | 0.26 | 0.74 | 0.00 |
IT | 0.07 | 0.06 | 0.00 | 0.18 | 0.74 | 0.00 |
RE | 0.04 | 0.05 | 0.00 | 0.14 | 0.69 | 0.00 |
WTI | 0.10 | 0.05 | 0.00 | 0.18 | 0.62 | 0.00 |
GOLD | 0.10 | 0.05 | 0.00 | 0.18 | 0.83 | 0.00 |
BTC | 0.11 | 0.04 | 0.04 | 0.17 | 0.57 | 0.00 |
GB | 0.11 | 0.05 | 0.02 | 0.18 | – 0.77 | 0.00 |
Positive | ||||||
---|---|---|---|---|---|---|
 | Mean | Standard deviation | 5% | 95% | Hedging effectiveness | p-value |
IND | 0.05 | 0.08 | 0.00 | 0.23 | 0.59 | 0.00 |
UTI | 0.06 | 0.07 | 0.00 | 0.19 | 0.58 | 0.00 |
EN | 0.08 | 0.07 | 0.00 | 0.21 | 0.84 | 0.00 |
MAT | 0.02 | 0.05 | 0.00 | 0.17 | 0.60 | 0.00 |
CS | 0.08 | 0.07 | 0.00 | 0.21 | 0.25 | 0.00 |
HC | 0.06 | 0.06 | 0.00 | 0.17 | 0.36 | 0.00 |
FIN | 0.08 | 0.08 | 0.00 | 0.21 | 0.70 | 0.00 |
IT | 0.06 | 0.07 | 0.00 | 0.20 | 0.70 | 0.00 |
RE | 0.04 | 0.06 | 0.00 | 0.15 | 0.60 | 0.00 |
WTI | 0.10 | 0.06 | 0.00 | 0.19 |  − 0.67 | 0.00 |
GOLD | 0.12 | 0.05 | 0.00 | 0.21 | 1.04 | 0.00 |
BTC | 0.11 | 0.05 | 0.02 | 0.20 |  − 0.74 | 0.00 |
GB | 0.14 | 0.06 | 0.02 | 0.22 |  − 1.08 | 0.00 |
Negative | ||||||
---|---|---|---|---|---|---|
 | Mean | Standard deviation | 5% | 95% | Hedging effectiveness | p-value |
IND | 0.05 | 0.08 | 0.00 | 0.24 | 0.64 | 0.00 |
UTI | 0.07 | 0.07 | 0.00 | 0.20 | 0.62 | 0.00 |
EN | 0.08 | 0.07 | 0.00 | 0.20 | 0.86 | 0.00 |
MAT | 0.02 | 0.04 | 0.00 | 0.10 | 0.65 | 0.00 |
CS | 0.05 | 0.07 | 0.00 | 0.19 | 0.30 | 0.00 |
HC | 0.09 | 0.07 | 0.00 | 0.23 | 0.39 | 0.00 |
FIN | 0.07 | 0.08 | 0.00 | 0.22 | 0.72 | 0.00 |
IT | 0.05 | 0.07 | 0.00 | 0.17 | 0.71 | 0.00 |
RE | 0.03 | 0.05 | 0.00 | 0.13 | 0.69 | 0.00 |
WTI | 0.11 | 0.06 | 0.02 | 0.22 |  − 0.63 | 0.00 |
GOLD | 0.14 | 0.05 | 0.03 | 0.20 | 0.88 | 0.00 |
BTC | 0.12 | 0.05 | 0.02 | 0.19 |  − 0.54 | 0.00 |
GB | 0.13 | 0.06 | 0.02 | 0.23 |  − 0.74 | 0.00 |