Table 5 Break point unit root test in... | Emerald Publishing

Table 5

Break point unit root test in the bull and bear regimes

		In level	p-value	In difference	p-value	Integration order
Panel A: Bull regime
Green Bonds	S&P GREEN BOND INDEX	−4.3558	0.5329	−22.1756**	<0.05	I(1)
	S&P GREEN BND SELECT INDEX	−4.3530**	<0.05	−22.1540	0.9112	I(0)
	S&P US MUNI GREEN BOND INDEX	−2.1869	0.2167	−20.8581*	<0.01	I(1)
Conventional Bonds	S&P 500 COMPOSITE	−1.1183	0.2568	−26.6339*	<0.01	I(1)
	S&P 500 ENERGY BOND INDEX	−5.0634	0.8778	20.4822**	<0.05	I(1)
	S&P 500 FINANCIALS BOND INDEX	−4.4730*	<0.01	−20.1942	0.2346	I(0)
	S&P 500 BOND INDEX	−5.7555*	<0.01	−21.3185	0.3115	I(0)
	Green attention index	−4.5964	0.3041	−0.7546**	<0.05	I(1)
Panel B: Bear regime
Green Bonds	S&P GREEN BOND INDEX	−5.1161*	<0.01	−20.0092	0.4993	I(0)
	S&P GREEN BND SELECT INDEX	−2.2172	0.8057	−31.0701*	<0.01	I(1)
	S&P US MUNI GREEN BOND INDEX	−7.1502*	<0.01	−22.0811	0.5182	I(0)
Conventional Bonds	S&P 500 COMPOSITE	−3.6249*	<0.01	−31.9306	2.0021	I(0)
	S&P 500 ENERGY BOND INDEX	−4.6668	0.3258	−30.8677*	<0.01	I(1)
	S&P 500 FINANCIALS BOND INDEX	−5.6041	1.5233	−30.5243*	<0.01	I(1)
	S&P 500 BOND INDEX	−3.6387	2.8011	−20.5919*	<0.01	I(1)
	Green attention index	−3.6798	0.8896	−33.1258**	<0.05	I(1)

		In level	p-value	In difference	p-value	Integration order
Panel A: Bull regime
Green Bonds	S&P GREEN BOND INDEX	−4.3558	0.5329	−22.1756**	<0.05	I(1)
	S&P GREEN BND SELECT INDEX	−4.3530**	<0.05	−22.1540	0.9112	I(0)
	S&P US MUNI GREEN BOND INDEX	−2.1869	0.2167	−20.8581*	<0.01	I(1)
Conventional Bonds	S&P 500 COMPOSITE	−1.1183	0.2568	−26.6339*	<0.01	I(1)
	S&P 500 ENERGY BOND INDEX	−5.0634	0.8778	20.4822**	<0.05	I(1)
	S&P 500 FINANCIALS BOND INDEX	−4.4730*	<0.01	−20.1942	0.2346	I(0)
	S&P 500 BOND INDEX	−5.7555*	<0.01	−21.3185	0.3115	I(0)
	Green attention index	−4.5964	0.3041	−0.7546**	<0.05	I(1)
Panel B: Bear regime
Green Bonds	S&P GREEN BOND INDEX	−5.1161*	<0.01	−20.0092	0.4993	I(0)
	S&P GREEN BND SELECT INDEX	−2.2172	0.8057	−31.0701*	<0.01	I(1)
	S&P US MUNI GREEN BOND INDEX	−7.1502*	<0.01	−22.0811	0.5182	I(0)
Conventional Bonds	S&P 500 COMPOSITE	−3.6249*	<0.01	−31.9306	2.0021	I(0)
	S&P 500 ENERGY BOND INDEX	−4.6668	0.3258	−30.8677*	<0.01	I(1)
	S&P 500 FINANCIALS BOND INDEX	−5.6041	1.5233	−30.5243*	<0.01	I(1)
	S&P 500 BOND INDEX	−3.6387	2.8011	−20.5919*	<0.01	I(1)
	Green attention index	−3.6798	0.8896	−33.1258**	<0.05	I(1)

Note(s): *,**respective significances at the 1%, 5%