Table 4. Fixed effects panel regression...

Table 4.

Fixed effects panel regression

Dependent variables: VOL (volatility)	Coefficient	Std. Err	t	P > t
GHG	0.07**	0.03	2.24	0.03
L1_VOL	0.07***	0.02	4.34	0.00
AVOL	0.72***	0.05	13.65	0.00
IF	0.00***	0.00	4.25	0.00
VST	0.01***	0.00	4.22	0.00
GDP	0.00	0.00	−0.91	0.36
GRW	−0.17***	0.05	−3.62	0.00
MSCI	−0.02	0.01	−1.43	0.15
RET	0.01	0.01	1.22	0.22
ACORR	0.02	0.01	1.23	0.22
D_Paris	0.01	0.01	1.19	0.23
D_Crisis	0.01	0.01	0.43	0.66
Number of obs.	718
Number of groups	35
R-square within	0.478
R-square between	0.052
R-square overall	0.239
F-statistics	51.12***

Dependent variables: VOL (volatility)	Coefficient	Std. Err	t	P > t
GHG	0.07**	0.03	2.24	0.03
L1_VOL	0.07***	0.02	4.34	0.00
AVOL	0.72***	0.05	13.65	0.00
IF	0.00***	0.00	4.25	0.00
VST	0.01***	0.00	4.22	0.00
GDP	0.00	0.00	−0.91	0.36
GRW	−0.17***	0.05	−3.62	0.00
MSCI	−0.02	0.01	−1.43	0.15
RET	0.01	0.01	1.22	0.22
ACORR	0.02	0.01	1.23	0.22
D_Paris	0.01	0.01	1.19	0.23
D_Crisis	0.01	0.01	0.43	0.66
Number of obs.	718
Number of groups	35
R-square within	0.478
R-square between	0.052
R-square overall	0.239
F-statistics	51.12***

Notes:

This table presents the relationship between GHG emissions and stock market volatility, using a panel data of 35 OECD countries. We use the fixed effects panel analysis based on the Hausman test. The dependent variable VOL is the volatility of each OECD country's stock index, and the explanatory variable GHG is the intensity of GHG emissions. All variables are defined in Table 1.

***, **, * denote significant levels at 1, 5 and 10%, respectively

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