Table 8. Comparison of countries with...

Table 8.

Comparison of countries with high and low GHG emissions

Dependent variables: △Volatility	Low		High
Dependent variables: △Volatility	Coefficient	t	Coefficient	t
△GHG	0.11	0.47	0.53***	2.82
△L1_VOL	−0.07***	−2.68	−0.22***	−4.71
△AVOL	0.00	(omitted)	0.00	(omitted)
△IF	0.00	1.15	0.00	1.11
△VST	0.01***	2.97	0.01	1.46
△GDP	0.00	0.09	0.00	1.31
△GRW	0.11	1.04	−0.21***	−2.70
△MSCI	−0.16	(omitted)	−0.09***	4.17
△ACORR	0.00	(omitted)	0.00	(omitted)
△RET	−0.00	−0.06	0.04***	3.40
D_Paris	0.01	0.46	0.07***	4.27
D_Crisis	0.16***	6.90	0.29***	12.76
Number of obs.	291		390
Adj R-squared	0.506		0.585
F-statistics	5.29***		10.05***

Dependent variables: △Volatility	Low		High
Dependent variables: △Volatility	Coefficient	t	Coefficient	t
△GHG	0.11	0.47	0.53***	2.82
△L1_VOL	−0.07***	−2.68	−0.22***	−4.71
△AVOL	0.00	(omitted)	0.00	(omitted)
△IF	0.00	1.15	0.00	1.11
△VST	0.01***	2.97	0.01	1.46
△GDP	0.00	0.09	0.00	1.31
△GRW	0.11	1.04	−0.21***	−2.70
△MSCI	−0.16	(omitted)	−0.09***	4.17
△ACORR	0.00	(omitted)	0.00	(omitted)
△RET	−0.00	−0.06	0.04***	3.40
D_Paris	0.01	0.46	0.07***	4.27
D_Crisis	0.16***	6.90	0.29***	12.76
Number of obs.	291		390
Adj R-squared	0.506		0.585
F-statistics	5.29***		10.05***

Notes:

We divide countries into two groups – low/high – based on average GHG emissions by year. This table presents the effect of the changed GHG on the change of stock market volatility. The results indicate that the coefficients of △GHG are statistically significant only in the sample with higher GHG emitters. All variables are defined in Table 7.

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

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