Hedging

Hedging and Trading

Model 1

Model 2

Model 3

Model 1

Model 2

Model 3

Constant

−0.165***

−0.245***

−0.236***

−1.585***

−2.754***

−2.774***

−(5.020)

−(5.571)

−(5.596)

−(3.137)

−(4.201)

−(4.213)

2008_DUM

0.013**

0.016***

0.016***

0.357***

0.404***

0.409***

(2.282)

(2.709)

(2.832)

(3.800)

(4.288)

(4.357)

2009_DUM

0.014**

0.019***

0.019***

0.398***

0.468***

0.471***

(2.317)

(2.887)

(3.020)

(3.864)

(4.486)

(4.524)

SIZE

0.014***

0.022***

0.023***

0.165***

0.291***

0.301***

(6.137)

(5.632)

(5.821)

(4.289)

(4.703)

(4.772)

LIQUID

0.069

0.070

0.050

−5.892***

−6.189***

−6.268***

(0.610)

(0.601)

(0.441)

−(2.972)

−(3.142)

−(3.180)

CREDIT_RISK

−0.079

0.077

0.072

−15.682*

−13.160*

−12.842

−(0.165)

(0.158)

(0.150)

−(1.955)

−(1.663)

−(1.606)

CAR

0.000

0.000

0.000

0.026

0.023

0.020

(0.140)

(0.116)

−(0.191)

(1.317)

(1.170)

(1.027)

PROFITABILITY

−0.889

−1.445*

−1.223

−34.131**

−40.514***

−38.874***

−(1.057)

−(1.656)

−(1.456)

−(2.544)

−(3.049)

−(2.899)

ASSET_STRUCT_1

0.001

0.001

0.001

−0.020

−0.025

−0.026

(0.618)

(0.440)

(0.397)

−(0.678)

−(0.875)

−(0.916)

ASSET_STRUCT_2

−0.001

−0.001

−0.001

0.010

0.011

0.011

−(0.771)

−(0.752)

−(0.723)

(0.552)

(0.579)

(0.624)

MARKET_CAP

0.075***

0.074***

0.076***

4.182***

4.149***

4.163***

(3.137)

(3.045)

(3.210)

(10.506)

(10.678)

(10.704)

INT_RISK_1

−0.001***

−0.001***

−0.008

−0.010*

−(2.667)

−(2.988)

−(1.452)

−(1.777)

INT_RISK_2

3.63 × 10−5**

3.97 × 10−5***

0.001**

0.001***

(2.494)

(2.827)

(2.661)

(2.854)

Chi-Square statistics

69.720***

66.113***

75.822***

222.106***

234.231***

238.915***

Observation

117

117

117

117

117

117