Table 2 Correlation matrix Variables...

Table 2

Correlation matrix

Variables	∆ln(S&P GB)	∆ln(Global 1200 ESG)	∆ln(S&P 500 ESG)	∆ln(Canada ESG)	∆ln(ASX 200 ESG)	∆ln(Japan 500 ESG)	∆ln(Korea ESG)
∆ln(S&P GB)	1
∆ln(Global 1200 ESG)	0.228***	1
∆ln(S&P 500 ESG)	0.079***	0.933***	1
∆ln(Canada ESG)	0.255***	0.831***	0.753***	1
∆ln(ASX 200 ESG)	0.348***	0.574***	0.404***	0.567***	1
∆ln(Japan 500 ESG)	0.231***	0.315***	0.128***	0.214***	0.470***	1
∆ln(Korea ESG)	0.204***	0.360***	0.207***	0.296***	0.459***	0.455***	1

Variables	∆ln(S&P GB)	∆ln(Global 1200 ESG)	∆ln(S&P 500 ESG)	∆ln(Canada ESG)	∆ln(ASX 200 ESG)	∆ln(Japan 500 ESG)	∆ln(Korea ESG)
∆ln(S&P GB)	1
∆ln(Global 1200 ESG)	0.228***	1
∆ln(S&P 500 ESG)	0.079***	0.933***	1
∆ln(Canada ESG)	0.255***	0.831***	0.753***	1
∆ln(ASX 200 ESG)	0.348***	0.574***	0.404***	0.567***	1
∆ln(Japan 500 ESG)	0.231***	0.315***	0.128***	0.214***	0.470***	1
∆ln(Korea ESG)	0.204***	0.360***	0.207***	0.296***	0.459***	0.455***	1

Note(s): The table presents the correlation matrix among GB and ESG assets during the entire study period. ∆ln refers to natural logarithm returns as the first difference of the variables

Source(s): Estimated by authors

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