Table 4 Hedge ratio and optimal...

Table 4

Hedge ratio and optimal portfolio weights

Variables	Hedge ratio			Optimal weights
Variables	$β$	HE	p-value	$w$	HE	p-value
Panel A: Entire sample
∆ln(S&P GB)/∆ln(Global 1200 ESG)	0.10	0.03	0.45	0.88	0.05	0.22
∆ln(S&P GB)/∆ln(S&P 500 ESG)	0.02	−0.04	0.33	0.86	0.09***	0.01
∆ln(S&P GB)/∆ln(Canada ESG)	0.09	0.03	0.39	0.95	0.01	0.76
∆ln(S&P GB)/∆ln(ASX 200 ESG)	0.10	0.12***	0.00	0.99	0.00	0.98
∆ln(S&P GB)/∆ln(Japan 500 ESG)	0.07	0.04	0.33	0.97	0.00	0.97
∆ln(S&P GB)/∆ln(Korea ESG)	0.04	0.04	0.31	0.98	0.00	0.95
Panel B: Pre-COVID-19
∆ln(S&P GB)/∆ln(Global 1200 ESG)	0.11	0.10**	0.02	0.87	0.07	0.12
∆ln(S&P GB)/∆ln(S&P 500 ESG)	0.02	0.03	0.48	0.84	0.14***	0.00
∆ln(S&P GB)/∆ln(Canada ESG)	0.10	0.11***	0.01	0.94	0.03	0.54
∆ln(S&P GB)/∆ln(ASX 200 ESG)	0.10	0.13***	0.00	0.99	0.00	0.96
∆ln(S&P GB)/∆ln(Japan 500 ESG)	0.07	0.02	0.64	0.96	0.01	0.84
∆ln(S&P GB)/∆ln(Korea ESG)	0.04	0.03	0.50	0.97	0.01	0.74
Panel C: Post-COVID-19
∆ln(S&P GB)/∆ln(Global 1200 ESG)	0.07	0.01	0.87	0.93	0.02	0.48
∆ln(S&P GB)/∆ln(S&P 500 ESG)	0.03	−0.04	0.66	0.89	0.09**	0.03
∆ln(S&P GB)/∆ln(Canada ESG)	0.07	0.01	0.93	0.97	0.01	0.91
∆ln(S&P GB)/∆ln(ASX 200 ESG)	0.09	0.11*	0.09	1.00	0.00	0.97
∆ln(S&P GB)/∆ln(Japan 500 ESG)	0.09	0.11	0.18	0.99	−0.03	0.75
∆ln(S&P GB)/∆ln(Korea ESG)	0.05	0.08	0.35	1.00	0.00	0.99

Variables	Hedge ratio			Optimal weights
Variables	$β$	HE	p-value	$w$	HE	p-value
Panel A: Entire sample
∆ln(S&P GB)/∆ln(Global 1200 ESG)	0.10	0.03	0.45	0.88	0.05	0.22
∆ln(S&P GB)/∆ln(S&P 500 ESG)	0.02	−0.04	0.33	0.86	0.09***	0.01
∆ln(S&P GB)/∆ln(Canada ESG)	0.09	0.03	0.39	0.95	0.01	0.76
∆ln(S&P GB)/∆ln(ASX 200 ESG)	0.10	0.12***	0.00	0.99	0.00	0.98
∆ln(S&P GB)/∆ln(Japan 500 ESG)	0.07	0.04	0.33	0.97	0.00	0.97
∆ln(S&P GB)/∆ln(Korea ESG)	0.04	0.04	0.31	0.98	0.00	0.95
Panel B: Pre-COVID-19
∆ln(S&P GB)/∆ln(Global 1200 ESG)	0.11	0.10**	0.02	0.87	0.07	0.12
∆ln(S&P GB)/∆ln(S&P 500 ESG)	0.02	0.03	0.48	0.84	0.14***	0.00
∆ln(S&P GB)/∆ln(Canada ESG)	0.10	0.11***	0.01	0.94	0.03	0.54
∆ln(S&P GB)/∆ln(ASX 200 ESG)	0.10	0.13***	0.00	0.99	0.00	0.96
∆ln(S&P GB)/∆ln(Japan 500 ESG)	0.07	0.02	0.64	0.96	0.01	0.84
∆ln(S&P GB)/∆ln(Korea ESG)	0.04	0.03	0.50	0.97	0.01	0.74
Panel C: Post-COVID-19
∆ln(S&P GB)/∆ln(Global 1200 ESG)	0.07	0.01	0.87	0.93	0.02	0.48
∆ln(S&P GB)/∆ln(S&P 500 ESG)	0.03	−0.04	0.66	0.89	0.09**	0.03
∆ln(S&P GB)/∆ln(Canada ESG)	0.07	0.01	0.93	0.97	0.01	0.91
∆ln(S&P GB)/∆ln(ASX 200 ESG)	0.09	0.11*	0.09	1.00	0.00	0.97
∆ln(S&P GB)/∆ln(Japan 500 ESG)	0.09	0.11	0.18	0.99	−0.03	0.75
∆ln(S&P GB)/∆ln(Korea ESG)	0.05	0.08	0.35	1.00	0.00	0.99

Note(s): The table presents the hedge ratio, optimal weights and hedging effectiveness between the green bond and ESG assets. The hedge ratio and optimal weights are indicated by β and $w$ ⁠, respectively. HE represents hedging effectiveness. ∆ln refers to natural logarithm returns as the first difference of the variables. ***, **, * indicate the significance at the 1%, 5% and 10% levels, respectively

Source(s): Estimated by authors

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