Table 6 Optimal weights and hedge ratios...

Table 6

Optimal weights and hedge ratios for the Latin American equity markets and gold

	BRAZ/GOLD	CHIL/GOLD	MEXI/GOLD	PERU/GOLD
Full-sample period
$w_{t}^{S G}$	0.29	0.59	0.48	0.48
$β_{t}^{S G}$	0.06	0.01	0.02	0.15
US financial crisis
$w_{t}^{S G}$	0.32	0.63	0.46	0.40
$β_{t}^{S G}$	0.10	0.00	0.11	0.14
Chinese equity market crash
$w_{t}^{S G}$	0.25	0.56	0.53	0.49
$β_{t}^{S G}$	0.08	0.02	−0.05	0.11

	BRAZ/GOLD	CHIL/GOLD	MEXI/GOLD	PERU/GOLD
Full-sample period
$w_{t}^{S G}$	0.29	0.59	0.48	0.48
$β_{t}^{S G}$	0.06	0.01	0.02	0.15
US financial crisis
$w_{t}^{S G}$	0.32	0.63	0.46	0.40
$β_{t}^{S G}$	0.10	0.00	0.11	0.14
Chinese equity market crash
$w_{t}^{S G}$	0.25	0.56	0.53	0.49
$β_{t}^{S G}$	0.08	0.02	−0.05	0.11

Note(s): $w_{t}^{S G}$ and $β_{t}^{S G}$ indicates the optimal weights and optimal hedge ratios respectively

Source(s): Own elaboration

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