Table 2 The optimal lag of VAR for paired assets.

From: Does the COVID-19 pandemic affect the asset allocation performance? Evidence from a composite asset selection approach

	wt-go		wt-ch		wt-eu		wt-bi		S1
Lag	AIC	SBC	AIC	SBC	AIC	SBC	AIC	SBC	S1
1	−22320.5	−22245.3	−17090.8	−17015.6	−24266.8	−24191.6	−17608.3	−17533.0	(0,0)
2	−22325.6	−22272.9	−17091.4	−17038.7	−24267.5	−24214.8	−17606.7	−17554.0	(0,4)
3	−22328.6	−22254.8	−17096.0	−17022.3	−24269.2	−24195.4	−17617.7	−17543.9	(0,0)
4	−22358.0	−22263.1	−17097.8	−17002.9	−24270.1	−24175.3	−17624.0	−17529.1	(2,0)
5	−22364.2	−22248.3	−17096.1	−16980.2	−24267.0	−24151.0	−17625.3	−17509.3	(2,0)
6	−22359.0	−22221.9	−17092.7	−16955.7	−24260.0	−24123.0	−17624.1	−17487.0	(0,0)
	wt-et		wt-li		go-ch		go-eu		S2
Lag	AIC	SBC	AIC	SBC	AIC	SBC	AIC	SBC	S2
1	−16354.7	−16279.5	−16614.4	−16539.2	−21658.0	−21582.7	−29100.3	−29025.1	(0,0)
2	−16356.4	−16303.7	−16615.5	−16562.8	−21654.5	−21601.8	−29098.4	−29045.7	(0,4)
3	−16364.2	−16290.4	−16620.8	−16547.0	−21651.5	−21577.7	−29093.7	−29019.9	(0,0)
4	−16366.9	−16272.0	−16623.2	−16528.3	−21645.5	−21550.6	−29093.6	−28998.8	(1,0)
5	−16367.3	−16251.4	−16620.3	−16504.4	−21662.0	−21546.1	−29103.6	−28987.7	(3,0)
6	−16363.6	−16226.6	−16615.8	−16478.8	−21656.5	−21519.5	−29099.7	−28962.7	(0,0)
	go-bi		go-et		go-li		ch-eu		S3
Lag	AIC	SBC	AIC	SBC	AIC	SBC	AIC	SBC	S3
1	−22188.7	−22113.4	−20938.3	−20863.1	−21182.5	−21107.2	−23607.7	−23532.4	(2,0)
2	−22183.3	−22130.6	−20934.2	−20881.5	−21178.8	−21126.1	−23605.3	−23552.6	(0,4)
3	−22180.0	−22106.2	−20934.0	−20860.2	−21173.3	−21099.5	−23602.5	−23528.7	(0,0)
4	−22177.4	−22082.6	−20928.8	−20833.9	−21171.5	−21076.7	−23596.5	−23501.6	(0,0)
5	−22194.0	−22078.1	−20937.2	−20821.2	−21188.0	−21072.0	−23603.8	−23487.9	(2,0)
6	−22187.4	−22050.4	−20930.0	−20793.0	−21182.6	−21045.6	−23597.6	−23460.6	(0,0)
	ch-bi		ch-et		ch-li		eu-bi		S4
Lag	AIC	SBC	AIC	SBC	AIC	SBC	AIC	SBC	S4
1	−16946.4	−16871.1	−15693.2	−15618.0	−15955.7	−15880.4	−24119.2	−24043.9	(4,0)
2	−16944.9	−16892.2	−15690.5	−15637.8	−15954.3	−15901.6	−24114.9	−24062.2	(0,4)
3	−16944.3	−16870.5	−15687.4	−15613.6	−15949.8	−15876.0	−24110.4	−24036.6	(0,0)
4	−16941.3	−16846.4	−15681.2	−15586.4	−15943.1	−15848.2	−24116.5	−24021.6	(0,0)
5	−16943.4	−16827.5	−15679.1	−15563.2	−15945.1	−15829.1	−24116.6	−24000.6	(0,0)
6	−16938.8	−16801.8	−15673.6	−15536.6	−15941.3	−15804.3	−24110.3	−23973.2	(0,0)
	eu-et		eu-li		bi-et		bi-li		S5
Lag	AIC	SBC	AIC	SBC	AIC	SBC	AIC	SBC	S5
1	−22869.4	−22794.1	−23127.2	−23052.0	−16698.6	−16623.4	−17303.0	−17227.7	(2,0)
2	−22868.2	−22815.5	−23124.8	−23072.1	−16713.0	−16660.3	−17304.2	−17251.5	(0,4)
3	−22862.7	−22788.9	−23118.5	−23044.7	−16713.5	−16639.7	−17299.9	−17226.1	(0,0)
4	−22859.0	−22764.2	−23116.2	−23021.3	−16716.4	−16621.6	−17329.7	−17234.9	(2,0)
5	−22855.0	−22739.1	−23116.5	−23000.5	−16711.2	−16595.2	−17328.6	−17212.6	(0,0)
6	−22848.0	−22711.0	−23110.3	−22973.3	−16710.2	−16573.2	−17324.7	−17187.7	(0,0)
	et-li		S6	S1	S2	S3	S4	S5	SUM
Lag	AIC	SBC	S6	S1	S2	S3	S4	S5	SUM
1	−15701.4	−15626.1	(0,0)	(0,0)	(0,0)	(2,0)	(4,0)	(2,0)	(8,0)
2	−15717.7	−15665.0	(1,1)	(0,4)	(0,4)	(0,4)	(0,4)	(0,4)	(1,21)
3	−15714.8	−15641.1	(0,0)	(0,0)	(0,0)	(0,0)	(0,0)	(0,0)	(0,0)
4	−15710.4	−15615.5	(0,0)	(2,0)	(1,0)	(0,0)	(0,0)	(2,0)	(5,0)
5	−15707.0	−15591.0	(0,0)	(2,0)	(3,0)	(2,0)	(0,0)	(0,0)	(7,0)
6	−15700.1	−15563.0	(0,0)	(0,0)	(0,0)	(0,0)	(0,0)	(0,0)	(0,0)

Note: 1. Bold font in each paired asset column represents the maximum AIC or SBC value in absolute value among lags 1–6. 2. The first (second) number inside the bracket underneath S1-S6 represents the total number of paired assets, that own the maximum AIC (SBC) value in absolute value for a specified lag, when considering all paired assets in a panel. 3. The first (second) number inside the bracket underneath SUM represents the summation of the first (second) number inside the bracket underneath S1-S6. 4. The bold font in the first (second) number inside the bracket underneath SUM in the last panel denotes the greatest value of the total number of paired assets obtained from note 2 when considering 21 paired assets together.

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Table 2 The optimal lag of VAR for paired assets.

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