Table 1 Summary statistics of daily...

Table 1

Summary statistics of daily returns of pre-COVID (Panel-I), during COVID-19 (Panel II) and Russo–Ukraine War (Panel-III) of sample assets

	Mean	Median	Std. dev.	Skewness	Kurtosis	JB stat	ADF	PP
Panel – I Overall
AUTO	0.0005	0.0011	0.0137	−0.5956	13.7909	12439.48**	−48.6752**	−50.1642**
BANK	0.0006	0.0007	0.0143	−0.9792	19.2335	28217.66**	−13.8281**	−48.2284**
BSE ESG	0.0003	0	0.0091	−1.7802	36.9723	123145.40**	−13.4402**	−52.2219**
CARBONEX	0.0005	0.0009	0.0104	−1.4428	23.5614	45498.77**	−48.6759**	−50.3795**
COMM	0.0005	0.0011	0.0128	−0.9231	11.6631	8280.53**	−18.2256**	−50.3705**
CONS	0.0005	0.0008	0.0097	−0.8732	18.8594	26867.62**	−13.1516**	−49.7655**
DIGITAL	0.0005	0.0008	0.0117	−0.8663	11.0086	7086.02**	−14.4468**	−49.7610**
ENERGY	0.0006	0.001	0.0131	−0.6535	9.4865	4620.94**	−15.3686**	−49.6758**
ESG 100	0.0005	0.001	0.0103	−1.2981	21.9529	38623.29**	−14.2474**	−50.1642**
FMCG	0.0005	0.0006	0.0104	−0.4713	14.3018	13574.71**	−12.7121**	−51.4727**
GREENEX	0.0005	0.001	0.0105	−1.1719	17.3004	22163.29**	−18.5187**	−49.7109**
IT	0.0005	0.0006	0.0129	−0.4314	8.8402	3678.41***	−14.4097**	−50.7531**
METAL	0.0005	0.001	0.0179	−0.4393	6.1091	1101.69***	−14.0398**	−50.8377**
MNC	0.0006	0.0009	0.0099	−1.0846	19.9258	30732.50**	−14.6449**	−48.7346**
NIFTY	0.0005	0.0008	0.0104	−1.3768	23.6316	45725.42**	−33.5611**	−50.7256**
NIFTY USD	0.0003	0.0008	0.012	−1.3481	21.2011	35731.28**	−46.4304**	−50.0900**
ONG	0.0006	0.001	0.0135	−0.864	12.8795	10616.49**	−9.9954**	−50.0900**
PHARMA	0.0004	0.0005	0.0125	−0.1613	8.0452	2697.49***	−13.6604**	−48.4877**
REALTY	0.0006	0.0015	0.0194	−0.556	6.9585	1784.28**	−13.8144**	−46.9340**
SENSEX	0.0005	0.0007	0.0104	−1.3567	24.5097	49607.71**	−14.0044**	−50.7704**
Panel II: During COVID
AUTO	0.0007	0.0014	0.0191	−0.9738	13.7028	2529.61**	−4.8989**	−23.8972**
BANK	0.0004	0.001	0.022	−1.3571	15.0753	3274.24**	−7.3206**	−22.1775**
BSE ESG	0.0009	0.0017	0.0158	−1.7048	18.7767	5568.83**	−6.4241**	−24.6309**
CARBONEX	0.0008	0.0018	0.0156	−1.9056	20.7868	7072.91**	−6.3691**	−24.4649**
COMM	0.0011	0.0026	0.017	−1.446	13.7047	2628.15**	−6.8032**	−25.1429**
CONS	0.0006	0.0013	0.0133	−1.4698	21.631	7604.29**	−5.9702**	−24.6693**
DIGITAL	0.0013	0.0024	0.0165	−1.2386	10.8605	1451.85**	−7.0357**	−23.9832**
ENERGY	0.001	0.0015	0.0168	−0.745	10.477	1242.43**	−6.5501**	−25.0762**
ESG 100	0.0009	0.0019	0.0152	−1.7917	20.9052	7127.18**	−6.4694**	−24.5337**
FMCG	0.0003	0.0009	0.0132	−0.7549	20.4591	6564.21**	−7.6804**	−25.4101**
GREENEX	0.001	0.002	0.015	−1.6795	17.6847	4850.5**	−7.0801**	−23.6810**
IT	0.0014	0.0019	0.0174	−0.692	9.5149	948.17**	−7.3312**	−24.2739**
METAL	0.0016	0.0036	0.0231	−0.859	6.496	324.34**	−8.6194**	−23.8446**
MNC	0.0006	0.0017	0.013	−2.1345	26.6415	12336.46**	−6.1290**	−25.0085**
NIFTY	0.0007	0.0019	0.0158	−1.7988	20.0223	6470.27**	−6.4336**	−24.6496**
NIFTY USD	0.0008	0.0019	0.0176	−1.9208	20.0361	6519.08**	−6.2304**	−24.7881**
ONG	0.0008	0.0019	0.0172	−0.9079	13.4197	2391.15**	−6.3403**	−25.0841**
PHARMA	0.0009	0.0006	0.0159	−0.0374	9.5494	917.23**	−14.5083**	−23.0128**
REALTY	0.0007	0.0022	0.0232	−0.5753	6.1792	244.34**	−7.2539**	−21.0036**
SENSEX	0.0007	0.0017	0.016	−1.7241	19.8817	6345.87**	−6.5056**	−24.5437**
Panel III: During War
AUTO	0.0012	0.0013	0.0111	−0.5964	6.2299	256.37**	−19.3993**	−19.07533**
BANK	0.0004	0.0008	0.0106	−0.5845	6.6249	313.71**	−20.9884**	−20.9287**
BSE ESG	0.0004	0.0007	0.0088	−0.5944	5.7533	194.51**	−21.3165**	−21.3604**
CARBONEX	0.0006	0.001	0.0085	−0.5546	5.9615	216.27**	−21.6394**	−21.6956**
COMM	0.0007	0.0013	0.0112	−0.6822	5.5324	178.94**	−21.3808**	−21.7191**
CONS	0.0007	0.0012	0.0082	−0.4475	4.8797	93.73**	−20.6248**	−20.6312**
DIGITAL	0.0004	0.0001	0.0113	−0.3698	5.0161	99.73**	−16.5137**	−21.0218**
ENERGY	0.0009	0.0012	0.0122	−0.5621	5.536	166.41**	−20.9644**	−21.4803**
ESG 100	0.0004	0.0009	0.0086	−0.6316	5.8765	213.45**	−21.3757**	−21.4711**
FMCG	0.0008	0.0005	0.0085	−0.0918	4.179	30.79**	−22.6826**	−22.7028**
GREENEX	0.0007	0.0014	0.0093	−0.7151	5.6322	194.05**	−20.9841**	−21.2456**
IT	0.0001	−0.0006	0.0134	−0.2092	5.1585	104.54**	−21.5594**	−21.5169**
METAL	0.0007	0.002	0.0167	−0.5471	5.6953	182.98**	−15.1324**	−22.9061**
MNC	0.0006	0.0011	0.0079	−0.6135	5.1528	132.78**	−21.5627**	−21.4933**
NIFTY	0.0005	0.0009	0.0085	−0.448	5.6843	173.18**	−21.5340**	−21.5551**
NIFTY USD	−0.0002	−0.0005	0.0097	−0.4384	7.0686	374.59**	−10.7601**	−20.4461**
ONG	0.0008	0.0011	0.0124	−0.4993	5.9056	204.13**	−13.8976**	−21.2882**
PHARMA	0.0007	0.0008	0.009	0.1792	4.3665	43.16**	−22.4879**	−22.6412**
REALTY	0.0014	0.0023	0.0155	−0.3236	5.3429	127.76**	−19.2652**	−19.0912**
SENSEX	0.0005	0.0008	0.0085	−0.3924	5.5446	153.34**	−21.5801**	−21.5643**

	Mean	Median	Std. dev.	Skewness	Kurtosis	JB stat	ADF	PP
Panel – I Overall
AUTO	0.0005	0.0011	0.0137	−0.5956	13.7909	12439.48**	−48.6752**	−50.1642**
BANK	0.0006	0.0007	0.0143	−0.9792	19.2335	28217.66**	−13.8281**	−48.2284**
BSE ESG	0.0003	0	0.0091	−1.7802	36.9723	123145.40**	−13.4402**	−52.2219**
CARBONEX	0.0005	0.0009	0.0104	−1.4428	23.5614	45498.77**	−48.6759**	−50.3795**
COMM	0.0005	0.0011	0.0128	−0.9231	11.6631	8280.53**	−18.2256**	−50.3705**
CONS	0.0005	0.0008	0.0097	−0.8732	18.8594	26867.62**	−13.1516**	−49.7655**
DIGITAL	0.0005	0.0008	0.0117	−0.8663	11.0086	7086.02**	−14.4468**	−49.7610**
ENERGY	0.0006	0.001	0.0131	−0.6535	9.4865	4620.94**	−15.3686**	−49.6758**
ESG 100	0.0005	0.001	0.0103	−1.2981	21.9529	38623.29**	−14.2474**	−50.1642**
FMCG	0.0005	0.0006	0.0104	−0.4713	14.3018	13574.71**	−12.7121**	−51.4727**
GREENEX	0.0005	0.001	0.0105	−1.1719	17.3004	22163.29**	−18.5187**	−49.7109**
IT	0.0005	0.0006	0.0129	−0.4314	8.8402	3678.41***	−14.4097**	−50.7531**
METAL	0.0005	0.001	0.0179	−0.4393	6.1091	1101.69***	−14.0398**	−50.8377**
MNC	0.0006	0.0009	0.0099	−1.0846	19.9258	30732.50**	−14.6449**	−48.7346**
NIFTY	0.0005	0.0008	0.0104	−1.3768	23.6316	45725.42**	−33.5611**	−50.7256**
NIFTY USD	0.0003	0.0008	0.012	−1.3481	21.2011	35731.28**	−46.4304**	−50.0900**
ONG	0.0006	0.001	0.0135	−0.864	12.8795	10616.49**	−9.9954**	−50.0900**
PHARMA	0.0004	0.0005	0.0125	−0.1613	8.0452	2697.49***	−13.6604**	−48.4877**
REALTY	0.0006	0.0015	0.0194	−0.556	6.9585	1784.28**	−13.8144**	−46.9340**
SENSEX	0.0005	0.0007	0.0104	−1.3567	24.5097	49607.71**	−14.0044**	−50.7704**
Panel II: During COVID
AUTO	0.0007	0.0014	0.0191	−0.9738	13.7028	2529.61**	−4.8989**	−23.8972**
BANK	0.0004	0.001	0.022	−1.3571	15.0753	3274.24**	−7.3206**	−22.1775**
BSE ESG	0.0009	0.0017	0.0158	−1.7048	18.7767	5568.83**	−6.4241**	−24.6309**
CARBONEX	0.0008	0.0018	0.0156	−1.9056	20.7868	7072.91**	−6.3691**	−24.4649**
COMM	0.0011	0.0026	0.017	−1.446	13.7047	2628.15**	−6.8032**	−25.1429**
CONS	0.0006	0.0013	0.0133	−1.4698	21.631	7604.29**	−5.9702**	−24.6693**
DIGITAL	0.0013	0.0024	0.0165	−1.2386	10.8605	1451.85**	−7.0357**	−23.9832**
ENERGY	0.001	0.0015	0.0168	−0.745	10.477	1242.43**	−6.5501**	−25.0762**
ESG 100	0.0009	0.0019	0.0152	−1.7917	20.9052	7127.18**	−6.4694**	−24.5337**
FMCG	0.0003	0.0009	0.0132	−0.7549	20.4591	6564.21**	−7.6804**	−25.4101**
GREENEX	0.001	0.002	0.015	−1.6795	17.6847	4850.5**	−7.0801**	−23.6810**
IT	0.0014	0.0019	0.0174	−0.692	9.5149	948.17**	−7.3312**	−24.2739**
METAL	0.0016	0.0036	0.0231	−0.859	6.496	324.34**	−8.6194**	−23.8446**
MNC	0.0006	0.0017	0.013	−2.1345	26.6415	12336.46**	−6.1290**	−25.0085**
NIFTY	0.0007	0.0019	0.0158	−1.7988	20.0223	6470.27**	−6.4336**	−24.6496**
NIFTY USD	0.0008	0.0019	0.0176	−1.9208	20.0361	6519.08**	−6.2304**	−24.7881**
ONG	0.0008	0.0019	0.0172	−0.9079	13.4197	2391.15**	−6.3403**	−25.0841**
PHARMA	0.0009	0.0006	0.0159	−0.0374	9.5494	917.23**	−14.5083**	−23.0128**
REALTY	0.0007	0.0022	0.0232	−0.5753	6.1792	244.34**	−7.2539**	−21.0036**
SENSEX	0.0007	0.0017	0.016	−1.7241	19.8817	6345.87**	−6.5056**	−24.5437**
Panel III: During War
AUTO	0.0012	0.0013	0.0111	−0.5964	6.2299	256.37**	−19.3993**	−19.07533**
BANK	0.0004	0.0008	0.0106	−0.5845	6.6249	313.71**	−20.9884**	−20.9287**
BSE ESG	0.0004	0.0007	0.0088	−0.5944	5.7533	194.51**	−21.3165**	−21.3604**
CARBONEX	0.0006	0.001	0.0085	−0.5546	5.9615	216.27**	−21.6394**	−21.6956**
COMM	0.0007	0.0013	0.0112	−0.6822	5.5324	178.94**	−21.3808**	−21.7191**
CONS	0.0007	0.0012	0.0082	−0.4475	4.8797	93.73**	−20.6248**	−20.6312**
DIGITAL	0.0004	0.0001	0.0113	−0.3698	5.0161	99.73**	−16.5137**	−21.0218**
ENERGY	0.0009	0.0012	0.0122	−0.5621	5.536	166.41**	−20.9644**	−21.4803**
ESG 100	0.0004	0.0009	0.0086	−0.6316	5.8765	213.45**	−21.3757**	−21.4711**
FMCG	0.0008	0.0005	0.0085	−0.0918	4.179	30.79**	−22.6826**	−22.7028**
GREENEX	0.0007	0.0014	0.0093	−0.7151	5.6322	194.05**	−20.9841**	−21.2456**
IT	0.0001	−0.0006	0.0134	−0.2092	5.1585	104.54**	−21.5594**	−21.5169**
METAL	0.0007	0.002	0.0167	−0.5471	5.6953	182.98**	−15.1324**	−22.9061**
MNC	0.0006	0.0011	0.0079	−0.6135	5.1528	132.78**	−21.5627**	−21.4933**
NIFTY	0.0005	0.0009	0.0085	−0.448	5.6843	173.18**	−21.5340**	−21.5551**
NIFTY USD	−0.0002	−0.0005	0.0097	−0.4384	7.0686	374.59**	−10.7601**	−20.4461**
ONG	0.0008	0.0011	0.0124	−0.4993	5.9056	204.13**	−13.8976**	−21.2882**
PHARMA	0.0007	0.0008	0.009	0.1792	4.3665	43.16**	−22.4879**	−22.6412**
REALTY	0.0014	0.0023	0.0155	−0.3236	5.3429	127.76**	−19.2652**	−19.0912**
SENSEX	0.0005	0.0008	0.0085	−0.3924	5.5446	153.34**	−21.5801**	−21.5643**

Note(s): ***, ** and * indicate significance at 1%, 5% and 10% respectively

Source(s): Authors’ own work

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