Gray hopes that Hockaday will be given the time to succeed at Elland Road.
"Like a lot of people, I don't know much about him, but he must have impressed Massimo Cellino because he's hired him, so, hopefully, things will work out for him," Gray wrote in the Yorkshire Evening Post.
"You have got to be honest and say it was a bit of a surprise to see him appointed. But that does not mean to say he's not going to be successful.
"Dave seems to have confidence in his own ability and now he's coach of Leeds United Football Club, everyone has got to support him. That's the most important thing. Everyone starts from scratch and we have got to give him an opportunity."
Hockaday will be assisted by former Leicester City midfielder Junior Lewis.