Table 1 Results for the hedging behavior...

Table 1

Results for the hedging behavior of sectoral stocks

	Without control			With control
	Full sample	Pre-COVID	COVID	Full sample	Pre-COVID	COVID
Consumer goods	−0.0016 (0.34)	0.1800^b (3.89)	0.0023 (0.09)	0.0053 (1.13)	0.1835^b (3.97)	0.0105 (2.63)
Consumer Services	−0.0202^a (19.25)	0.1771^a (23.02)	−0.0116^b (3.83)	−0.0154^b (4.98)	0.1790^a (23.51)	−0.0047 (0.44)
Financials	−0.0180^a (51.12)	0.0992^a (59.25)	−0.0131^a (15.89)	−0.0255^a (58.07)	0.1001^a (59.18)	−0.0133^a (14.97)
HealthCare	0.0003 (0.00)	0.3823^a (12.11)	0.0061 (0.52)	0.0002 (0.00)	0.3834^a (12.31)	0.0072 (0.67)
Industrials	−0.0139^a (32.29)	−0.0055 (0.02)	−0.0039 (0.53)	−0.0188^a (9.12)	−0.0027 (0.01)	−0.0080 (0.99)
Materials	−0.0002 (0.01)	0.1898^a (18.83)	0.0064 (2.44)	−0.0135^b (6.29)	0.1861^a (18.77)	0.0041 (0.68)
Technology	−0.0030 (0.24)	−0.0137 (0.03)	0.0014 (0.02)	−0.0078 (0.31)	−0.0106 (0.02)	−0.0024 (0.03)
Telecoms	−0.0055 (0.91)	0.1480 (1.40)	−0.0061 (0.79)	−0.0022 (0.05)	0.1557 (1.50)	−0.0015 (0.02)

	Without control			With control
	Full sample	Pre-COVID	COVID	Full sample	Pre-COVID	COVID
Consumer goods	−0.0016 (0.34)	0.1800^b (3.89)	0.0023 (0.09)	0.0053 (1.13)	0.1835^b (3.97)	0.0105 (2.63)
Consumer Services	−0.0202^a (19.25)	0.1771^a (23.02)	−0.0116^b (3.83)	−0.0154^b (4.98)	0.1790^a (23.51)	−0.0047 (0.44)
Financials	−0.0180^a (51.12)	0.0992^a (59.25)	−0.0131^a (15.89)	−0.0255^a (58.07)	0.1001^a (59.18)	−0.0133^a (14.97)
HealthCare	0.0003 (0.00)	0.3823^a (12.11)	0.0061 (0.52)	0.0002 (0.00)	0.3834^a (12.31)	0.0072 (0.67)
Industrials	−0.0139^a (32.29)	−0.0055 (0.02)	−0.0039 (0.53)	−0.0188^a (9.12)	−0.0027 (0.01)	−0.0080 (0.99)
Materials	−0.0002 (0.01)	0.1898^a (18.83)	0.0064 (2.44)	−0.0135^b (6.29)	0.1861^a (18.77)	0.0041 (0.68)
Technology	−0.0030 (0.24)	−0.0137 (0.03)	0.0014 (0.02)	−0.0078 (0.31)	−0.0106 (0.02)	−0.0024 (0.03)
Telecoms	−0.0055 (0.91)	0.1480 (1.40)	−0.0061 (0.79)	−0.0022 (0.05)	0.1557 (1.50)	−0.0015 (0.02)

Note(s): “Without Control” implies the original model with the predictor of interest only while “With Control” is an extension of the original model to include relevant control variables. Irrespective of the model, the coefficient reported under each data sample [i.e. pre-COVID and COVID] is the sum of the coefficients of the five lags whose significance are jointly evaluated using the Wald test for coefficient restriction. Thus, the values in parentheses () are the F-statistics for the joint coefficients; a, b and c indicate statistical significance at 1%, 5 and 10% levels, respectively

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