Financial Innovation

Table 7 The mean value of OHRs, OPW, and HE between CSI300 and commodities

From: Dynamic connectedness and hedging opportunities of the commodity and stock markets in China: evidence from the TVP-VAR and cDCC-FIAPARCH

CSI300-commodity		CSI300-copper	CSI300-gold	CSI300-PTA	CSI300-soybean
Full-sample	OHRs	0.330	0.033	0.274	0.084
Full-sample	OPW	0.576	0.679	0.472	0.605
Pre-COVID	OHRs	0.328	0.036	0.263	0.086
Pre-COVID	OPW	0.586	0.678	0.500	0.613
Post-COVID	OHRs	0.353	0.000	0.373	0.062
Post-COVID	OPW	0.487	0.692	0.212	0.521
Russia-Ukraine	OHRs	0.361	− 0.004	0.373	0.059
	OPW	0.487	0.694	0.213	0.525
	HE (%)	49.74%	69.49%	47.30%	62.62%

Commodity-CSI300		Copper-CSI300	gold-CSI300	PTA-CSI300	Soybean-CSI300
Full-sample	OHRs	0.415	0.060	0.255	0.162
Full-sample	OPW	0.424	0.321	0.528	0.395
Pre-COVID	OHRs	0.423	0.067	0.269	0.172
Pre-COVID	OPW	0.414	0.322	0.500	0.387
Post-COVID	OHRs	0.337	− 0.008	0.126	0.062
Post-COVID	OPW	0.513	0.308	0.788	0.479
Russia-Ukraine	OHRs	0.344	− 0.018	0.126	0.060
	OPW	0.513	0.306	0.787	0.475
	HE (%)	33.35%	29.68%	44.10%	32.70%

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