Table 7. First-difference estimation...

Table 7.

First-difference estimation model

Dependent variables: △Volatility	Coefficient	Std. Err	t	P > t
△GHG	0.32**	0.01	2.22	0.03
△L1_VOL	−0.11***	0.02	−4.96	0.00
△AVOL	0.00	(omitted)	.	.
△IF	0.00	0.00	1.00	0.32
△VST	0.02***	0.00	3.40	0.00
△GDP	0.00	0.00	1.64	0.10
△GRW	−0.08	0.06	−1.31	0.19
△MSCI	0.00	(omitted)	.	.
△ACORR	0.00	(omitted)	.	.
△RET	0.02**	0.01	2.49	0.01
D_Paris	0.09***	0.01	6.03	0.00
D_Crisis	0.09***	0.01	6.00	0.00
Number of obs.	681
Adj R-squared	0.51
F-statistics	10.21***
Year dummy	Included
Country dummy	Included

Dependent variables: △Volatility	Coefficient	Std. Err	t	P > t
△GHG	0.32**	0.01	2.22	0.03
△L1_VOL	−0.11***	0.02	−4.96	0.00
△AVOL	0.00	(omitted)	.	.
△IF	0.00	0.00	1.00	0.32
△VST	0.02***	0.00	3.40	0.00
△GDP	0.00	0.00	1.64	0.10
△GRW	−0.08	0.06	−1.31	0.19
△MSCI	0.00	(omitted)	.	.
△ACORR	0.00	(omitted)	.	.
△RET	0.02**	0.01	2.49	0.01
D_Paris	0.09***	0.01	6.03	0.00
D_Crisis	0.09***	0.01	6.00	0.00
Number of obs.	681
Adj R-squared	0.51
F-statistics	10.21***
Year dummy	Included
Country dummy	Included

Notes:

This table presents the result of the first-difference model to address the problem of omitted variables with panel data. We use the OLS regression analysis based on the Hausman test and Breusch–Pagan Lagrange multiplier test. The dependent variable △VOL is the change in the volatility and the explanatory variable △GHG is the change in intensity of GHG emissions. We include year and country dummy variables in the model. All variables are defined in Table 1.

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

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