Table 4 Results from Shannonian entropy...

Table 4

Results from Shannonian entropy

	Positive ESG news sentiment				Negative ESG news sentiment
	TICKER	TE	Std.err	Eff.TE	TE	Std.err	Eff.TE
1	AGL	0.0128***	0.0019	0.0075	0.0075**	0.0017	0.0027
2	AMS	0.0055	0.0016	0.0020	0.0030	0.0016	0.0000
3	ANG	0.0078**	0.0018	0.0034	0.0075**	0.0016	0.0025
4	EXX	0.0022**	0.0018	0.0000	0.0043*	0.0014	0.0008
5	GFI	0.0131***	0.0016	0.0090	0.0067	0.0017	0.0020
6	GLN	0.0131***	0.0016	0.0090	0.0039	0.0019	0.0000
7	HAR	0.0113***	0.0018	0.0065	0.0034	0.0017	0.0000
8	IMP	0.0030	0.0015	0.0000	0.0024	0.0015	0.0000
9	JSE	0.0065**	0.0015	0.0029	0.0001	0.0006	0.0000
10	MUR	0.0002	0.0009	0.0000	0.0002	0.0006	0.0000
11	NED	0.0046	0.0017	0.0007	0.0003	0.0008	0.0000
12	NHM	0.0092***	0.0017	0.0056	0.0005	0.0010	0.0000
13	RBP	0.0016	0.0008	0.0011	0.0002	0.0007	0.0000
14	REM	0.0000***	0.0000	0.0000	0.0000***	0.0000	0.0000
15	SAP	0.0036	0.0017	0.0000	0.0000***	0.0000	0.0000
16	SBK	0.0057	0.0019	0.0007	0.0037	0.0017	0.0000
17	SHP	0.0000***	0.0000	0.0000	0.0068	0.0016	0.0027
18	SSW	0.0030	0.0004	0.0000	0.0058	0.0019	0.0005
19	TBS	0.0002**	0.0007	0.0000	0.0041	0.0015	0.0000
20	WBO	0.0000***	0.0000	0.0000	0.0000***	0.0000	0.0000

	Positive ESG news sentiment				Negative ESG news sentiment
	TICKER	TE	Std.err	Eff.TE	TE	Std.err	Eff.TE
1	AGL	0.0128***	0.0019	0.0075	0.0075**	0.0017	0.0027
2	AMS	0.0055	0.0016	0.0020	0.0030	0.0016	0.0000
3	ANG	0.0078**	0.0018	0.0034	0.0075**	0.0016	0.0025
4	EXX	0.0022**	0.0018	0.0000	0.0043*	0.0014	0.0008
5	GFI	0.0131***	0.0016	0.0090	0.0067	0.0017	0.0020
6	GLN	0.0131***	0.0016	0.0090	0.0039	0.0019	0.0000
7	HAR	0.0113***	0.0018	0.0065	0.0034	0.0017	0.0000
8	IMP	0.0030	0.0015	0.0000	0.0024	0.0015	0.0000
9	JSE	0.0065**	0.0015	0.0029	0.0001	0.0006	0.0000
10	MUR	0.0002	0.0009	0.0000	0.0002	0.0006	0.0000
11	NED	0.0046	0.0017	0.0007	0.0003	0.0008	0.0000
12	NHM	0.0092***	0.0017	0.0056	0.0005	0.0010	0.0000
13	RBP	0.0016	0.0008	0.0011	0.0002	0.0007	0.0000
14	REM	0.0000***	0.0000	0.0000	0.0000***	0.0000	0.0000
15	SAP	0.0036	0.0017	0.0000	0.0000***	0.0000	0.0000
16	SBK	0.0057	0.0019	0.0007	0.0037	0.0017	0.0000
17	SHP	0.0000***	0.0000	0.0000	0.0068	0.0016	0.0027
18	SSW	0.0030	0.0004	0.0000	0.0058	0.0019	0.0005
19	TBS	0.0002**	0.0007	0.0000	0.0041	0.0015	0.0000
20	WBO	0.0000***	0.0000	0.0000	0.0000***	0.0000	0.0000

Note(s): The table shows the transfer entropy from positive (negative) ESG news sentiment to stock returns. The direction of possible information flow is from ESG news sentiment to stock returns. Shannon transfer entropy is given in the TE column. Effective transfer entropy estimates can be found in the Eff.TE column. Standard errors and statistical significance are based on the bootstrap samples. The TE estimates are compared to the quantiles of the bootstrap samples to calculate p-values. *, ** and *** represent statistical significance at the 10, 5 and 1%, respectively

Source(s): Authors’ estimations

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