Table 2 Unit root test Variable ADF PP...

Table 2

Unit root test

Variable	ADF	PP
France return	−22.8218 ***	−69.0827 ***
G.GBR	−36.0483 ***	−36.1984 ***
OVX	−4.2442***	−6.6533 ***
VIX	−4.5053 ***	−5.7769***
TRI	−11.5195 ***	−50.9718 ***
PRI	−12.9834***	−49.4217***
G.GPR	−8.0661***	−30.0947***

Variable	ADF	PP
France return	−22.8218 ***	−69.0827 ***
G.GBR	−36.0483 ***	−36.1984 ***
OVX	−4.2442***	−6.6533 ***
VIX	−4.5053 ***	−5.7769***
TRI	−11.5195 ***	−50.9718 ***
PRI	−12.9834***	−49.4217***
G.GPR	−8.0661***	−30.0947***

Note(s): ***, **, and * significant at 1%, 5%, and 10%, respectively G.GBR refers to global green bonds, OVX refers to CBOE Crude Oil Volatility Index, VIX refers to CBOE Volatility Index, TRI refers to Transition Risk Index, PRI refers to Physical Risk Index, and G.GPR refers to Global Geopolitical Risk Index

Source(s): Author’s own elaboration

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