Table 9

The short-run asymmetric effects of green attention index green on the conventional bonds for the bull and bear regimes

X = green attention index
Panel A: Bull Regime
ARDL model(1,0,0,0,0)
cointEq(−1)−0.033926(0.0000)
y1(−1)0.075616(0.0327)
 y2(−1)0.154014(0.0344)
 y3(−1)0.058089(0.3935)
 y4(−1)0.079776(0.2836)
 y5(−1)0.482226(0.6310)
 y6(−1)−0.094152(0.8466)
 y7(−1)−0.0318472(0.1913)
dx1p0.054555(0.4528)
dx1p(−1)0.930623(0.0572)
Dx1n0.006409(0.2223)
DW statistic2.239164
AIC8.070130
SIC7.081058
F- statistic12.634452*
Panel B: Bear Regime
ARDL model(1,0,0,0,0)
cointEq (−1)−0.067740(0.9927)
dy(−1)−0.024344(0.2879)
y1(−1)0.091874(0.0408)
 y2(−1)0.025836(0.5277)
 y3(−1)−0.004344(0.3882)
 y4(−1)0.078723(0.6015)
 y5(−1)−0.050582(0.5557)
 y6(−1)−0.015224(0.0025)
 y7(−1)0.047335(0.8386)
dx1p(−1)0.077709(0.5645)
Dx1n0.006930(0.3909)
DW statistic2.309854
AIC9.558324
SIC6.226536
F- statistic14.679811**

Note(s): The probability values given in parentheses ( ) ; y1 = S&P GREEN BOND INDEX; y2 = S&P GREEN BND SELECT INDEX; y3 = S&P US MUNI GREEN BOND INDEX; y4 = S&P 500 composite; y5 = S S&P 500 ENERGY BOND INDEX; y6 = S&P 500 FINANCIALS BOND INDEX; y7 = S&P 500 BOND INDEX; *, and ** indicates that the model is globally significant in 10% and 5% level

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