Table 4

Correlation matrix and variance inflation factors (VIF) estimation

Variables12345678910111213141516171819VIF1VIF2VIF3VIF4
BETA(1)1                      
VOLA.(2)−0.111                     
SER(3)0.02−0.19*1                1.626−1.626−
ENV(4)0.08−0.160.63*1               −1.218−1.218
SOC(5)0.07−0.22*0.79*0.23*1              −1.180−1.180
GOV(6)0.010.100.43*0.020.141             −1.705−1.705
TA(7)−0.02−0.42*−0.020.03−0.040.011            1.0841.0941.0841.094
PE(8)−0.100.000.110.030.040.160.021           1.1591.1881.1591.188
EMP(9)0.140.090.130.21*0.11−0.05−0.110.141          4.1404.1954.1404.195
CD(10)0.18*−0.09−0.16−0.04−0.12−0.110.000.10−0.111         3.6313.6993.6313.699
CS(11)−0.26*0.110.050.040.010.09−0.040.20*−0.09−0.161        1.9321.9641.9321.964
ES(12)−0.020.090.080.040.090.06−0.03−0.050.00−0.09−0.071       4.0354.1974.0354.19
FIN(13)0.170.130.090.24*−0.010.04−0.10−0.030.60−0.15−0.13−0.071      4.5934.6974.5934.697
HC(14)−0.08−0.29*−0.100.00−0.02−0.170.24−0.09−0.11−0.21*−0.18*−0.10−0.171     4.0924.0884.0924.088
IND(15)0.110.15−0.14−0.17−0.110.06−0.07−0.01−0.12−0.18*−0.16−0.09−0.15−0.21*1    3.0053.0833.0053.083
IT(16)−0.04−0.120.28*0.120.25*−0.02−0.01−0.04−0.03−0.13−0.12−0.06−0.11−0.15−0.141   2.0922.0992.0922.099
MAT(17)0.22*0.040.00−0.120.030.06−0.02−0.07−0.06−0.09−0.08−0.04−0.08−0.11−0.10−0.071  1.1921.2041.1921.204
RE(18)0.130.02−0.05−0.04−0.080.070.00−0.04−0.03−0.03−0.03−0.01−0.03−0.04−0.04−0.03−0.021 1.4101.4241.4101.424
TS(19)−0.10.030.08−0.020.050.12−0.040.060.07−0.05−0.04−0.02−0.05−0.06−0.06−0.04−0.03−0.0111.0841.0941.0841.094

Notes:

This table shows the correlation coefficients for risk measures, ESG ratings and control variables. All variables are explained in Table 1. Stars indicate significance at the 5% level (p < 0.05).

VIF1 refers to Model 1; VIF2 refers to Model 2; VIF3 refers to Model 3; VIF4 refers to Model 4

Source: Authors’ own creation
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