Table 5. Prais–Winsten regression,...

Table 5.

Prais–Winsten regression, correlated panels corrected standard errors (PCSEs)

Dependent variables: Volatility	Coefficient	Panel-corrected Std. Err	z	P > t
GHG	0.01**	0.01	2.06	0.04
L1_VOL	0.08***	0.02	5.18	0.00
AVOL	0.70***	0.05	13.74	0.00
IF	0.00***	0.00	2.85	0.00
VST	0.00**	0.00	−2.08	0.04
GDP	0.00	0.00	−0.31	0.75
GRW	−0.07	0.05	−1.40	0.16
MSCI	−0.01	0.01	−0.71	0.48
RET	0.01	0.01	1.10	0.27
ACORR	0.04***	0.01	3.44	0.00
D_Paris	0.01	0.01	0.88	0.38
D_Crisis	0.01	0.01	1.85	0.06
Number of obs.	718
Number of groups	35
R-square	0.521
Wald chi2(6)	627.2***

Dependent variables: Volatility	Coefficient	Panel-correctedStd. Err	z	P > t
GHG	0.01**	0.01	2.06	0.04
L1_VOL	0.08***	0.02	5.18	0.00
AVOL	0.70***	0.05	13.74	0.00
IF	0.00***	0.00	2.85	0.00
VST	0.00**	0.00	−2.08	0.04
GDP	0.00	0.00	−0.31	0.75
GRW	−0.07	0.05	−1.40	0.16
MSCI	−0.01	0.01	−0.71	0.48
RET	0.01	0.01	1.10	0.27
ACORR	0.04***	0.01	3.44	0.00
D_Paris	0.01	0.01	0.88	0.38
D_Crisis	0.01	0.01	1.85	0.06
Number of obs.	718
Number of groups	35
R-square	0.521
Wald chi2(6)	627.2***

Notes:

This table presents the relationship between GHG emissions and stock market volatility, using a panel data of 35 OECD countries. We use the Prais–Winsten regression, correlated panels corrected standard errors (PCSEs) for controlling cross sectional dependence, autocorrelation and heteroscedasticity based on the Pearson’s test, Wooldridge test and modified Wald 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

[ViewLarge]

Sharing Unavailable