Table 1 Descriptive statistics and unit...

Table 1

Descriptive statistics and unit root test

Variables	Mean	Std. Dev	Skewness	Kurtosis	Jarque-Bera	ADF	PP
Panel A: entire sample
∆ln(S&P GB)	0.001	0.337	−0.474	8.278	2939.29***	−47.42***	−47.41***
∆ln(Global 1200 ESG)	0.032	0.912	−1.324	23.200	42423.41***	−31.47***	−50.47***
∆ln(S&P 500 ESG)	0.047	1.057	−1.085	24.880	49412.20***	−34.83***	−58.66***
∆ln(Canada ESG)	0.008	1.158	−1.441	30.811	79904.00***	−32.63***	−51.92***
∆ln(ASX 200 ESG)	0.003	1.245	−0.956	12.017	8682.93***	−32.53***	−50.19***
∆ln(Japan 500 ESG)	0.018	1.163	−0.099	6.272	1098.01***	−54.27***	−55.00***
∆ln(Korea ESG)	0.015	1.466	−0.310	7.345	1969.20***	−48.18***	−48.17***
Panel B: Pre-COVID-19
∆ln(S&P GB)	0.003	0.323	−0.179	6.652	1076.92***	−45.59***	−44.55***
∆ln(Global 1200 ESG)	0.031	0.718	−0.639	6.743	1251.01***	−37.47***	−30.32***
∆ln(S&P 500 ESG)	0.044	0.801	−0.537	6.219	920.74***	−34.55***	−33.16***
∆ln(Canada ESG)	0.001	0.926	−0.241	5.445	496.46***	−44.58***	−24.84***
∆ln(ASX 200 ESG)	0.002	1.067	−0.383	5.121	406.81***	−43.63***	−27.92***
∆ln(Japan 500 ESG)	0.021	1.126	−0.169	5.849	658.36***	−34.72***	−41.29***
∆ln(Korea ESG)	0.012	1.320	−0.529	5.843	735.98***	−28.27***	−39.82***
Panel C: Post-COVID-19
∆ln(S&P GB)	−0.006	0.382	−1.087	10.670	1414.21***	−26.52***	−28.53***
∆ln(Global 1200 ESG)	0.035	1.405	−1.367	17.345	4744.74***	−31.47***	−50.47***
∆ln(S&P 500 ESG)	0.056	1.683	−1.042	16.711	4279.42***	−26.87***	−47.60***
∆ln(Canada ESG)	0.033	1.757	−1.804	25.391	11444.89***	−35.73***	−54.76***
∆ln(ASX 200 ESG)	0.010	1.742	−1.297	11.866	1898.72***	−28.59***	−41.27***
∆ln(Japan 500 ESG)	0.004	1.287	0.080	6.907	340.25***	−44.95***	−39.99***
∆ln(Korea ESG)	0.027	1.900	−0.025	7.074	369.31***	−38.91***	−38.15***

Variables	Mean	Std. Dev	Skewness	Kurtosis	Jarque-Bera	ADF	PP
Panel A: entire sample
∆ln(S&P GB)	0.001	0.337	−0.474	8.278	2939.29***	−47.42***	−47.41***
∆ln(Global 1200 ESG)	0.032	0.912	−1.324	23.200	42423.41***	−31.47***	−50.47***
∆ln(S&P 500 ESG)	0.047	1.057	−1.085	24.880	49412.20***	−34.83***	−58.66***
∆ln(Canada ESG)	0.008	1.158	−1.441	30.811	79904.00***	−32.63***	−51.92***
∆ln(ASX 200 ESG)	0.003	1.245	−0.956	12.017	8682.93***	−32.53***	−50.19***
∆ln(Japan 500 ESG)	0.018	1.163	−0.099	6.272	1098.01***	−54.27***	−55.00***
∆ln(Korea ESG)	0.015	1.466	−0.310	7.345	1969.20***	−48.18***	−48.17***
Panel B: Pre-COVID-19
∆ln(S&P GB)	0.003	0.323	−0.179	6.652	1076.92***	−45.59***	−44.55***
∆ln(Global 1200 ESG)	0.031	0.718	−0.639	6.743	1251.01***	−37.47***	−30.32***
∆ln(S&P 500 ESG)	0.044	0.801	−0.537	6.219	920.74***	−34.55***	−33.16***
∆ln(Canada ESG)	0.001	0.926	−0.241	5.445	496.46***	−44.58***	−24.84***
∆ln(ASX 200 ESG)	0.002	1.067	−0.383	5.121	406.81***	−43.63***	−27.92***
∆ln(Japan 500 ESG)	0.021	1.126	−0.169	5.849	658.36***	−34.72***	−41.29***
∆ln(Korea ESG)	0.012	1.320	−0.529	5.843	735.98***	−28.27***	−39.82***
Panel C: Post-COVID-19
∆ln(S&P GB)	−0.006	0.382	−1.087	10.670	1414.21***	−26.52***	−28.53***
∆ln(Global 1200 ESG)	0.035	1.405	−1.367	17.345	4744.74***	−31.47***	−50.47***
∆ln(S&P 500 ESG)	0.056	1.683	−1.042	16.711	4279.42***	−26.87***	−47.60***
∆ln(Canada ESG)	0.033	1.757	−1.804	25.391	11444.89***	−35.73***	−54.76***
∆ln(ASX 200 ESG)	0.010	1.742	−1.297	11.866	1898.72***	−28.59***	−41.27***
∆ln(Japan 500 ESG)	0.004	1.287	0.080	6.907	340.25***	−44.95***	−39.99***
∆ln(Korea ESG)	0.027	1.900	−0.025	7.074	369.31***	−38.91***	−38.15***

Note(s): The table reports the descriptive statistics and unit root test results of all return series for all samples. Std. Dev. stands for standard deviation. ADF and PP are the empirical statistics of the Dickey and Fuller (1979) and Phillips and Perron (1988) unit root tests, respectively. ∆ln refers to natural logarithm returns. The asterisk *** denotes the rejection of the null hypotheses at the 1% significance level

Source(s): Estimated by authors

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