Hedging

Hedging and Trading

Model 1

Model 2

Model 3

Model 1

Model 2

Model 3

Constant

−0.00166***

−0.00232***

−0.00223***

−0.00247*

−0.00293*

−0.00266

−(3.332)

−(3.593)

−(3.475)

−(1.924)

−(1.741)

−(1.597)

2008_DUM

0.00006

0.00008

0.00008

−0.00013

−0.00011

−0.00013

(0.593)

(0.842)

(0.814)

−(0.534)

−(0.450)

−(0.498)

2009_DUM

0.00016

0.00020*

0.00019*

−0.00015

−0.00012

−0.00014

(1.501)

(1.843)

(1.804)

−(0.562)

−(0.429)

−(0.501)

SIZE

0.00016***

0.00023***

0.00022***

0.00013

0.00016

0.00015

(4.512)

(3.918)

(3.877)

(1.424)

(1.090)

(1.012)

LIQUID

−0.00007

−0.00011

−0.00002

−0.00057

−0.00081

−0.00055

−(0.040)

−(0.062)

−(0.013)

−(0.121)

−(0.169)

−(0.117)

CREDIT_RISK

0.02651***

0.02757***

0.02878***

−0.00884

−0.01151

−0.00807

(3.503)

(3.559)

(3.747)

−(0.453)

−(0.570)

−(0.404)

CAR

−0.00001

−0.00002

−0.00002

0.00014***

0.00014***

0.00014***

−(0.693)

−(0.782)

−(0.888)

(2.778)

(2.793)

(2.725)

PROFITABILITY

0.01964

0.01513

0.01871

−0.00180

−0.01226

−0.00212

(1.535)

(1.192)

(1.473)

−(0.055)

−(0.370)

−(0.064)

ASSET_STRUCT_1

0.00003

0.00003

0.00003

0.00005

0.00005

0.00005

(1.079)

(1.006)

(1.032)

(0.715)

(0.682)

(0.707)

ASSET_STRUCT_2

−0.00003*

−0.00003*

−0.00003*

−0.00004

−0.00004

−0.00004

−(1.688)

−(1.704)

−(1.727)

−(0.871)

−(0.860)

−(0.875)

MARKET_CAP

−0.00006

−0.00007

−0.00009

0.00026

0.00031

0.00025

−(0.152)

−(0.157)

−(0.206)

(0.240)

(0.280)

(0.233)

INT_RISK_1

−0.00001*

−

−0.00001*

−0.00003*

−

−0.00003*

−(1.663)

−

−(1.733)

−(1.879)

−

−(1.886)

INT_RISK_2

−

3.37 × 10⁻⁷

3.55 × 10⁻⁷

−

6.92 × 10⁻⁸

1.20 × 10⁻⁷

−

(1.307)

(1.394)

−

(0.103)

(0.182)

Chi-Square statistics

63.881***

62.283***

66.884***

29.199**

24.927*

29.240**

Observation

117

117

117

117

117

117