Table 2 Summary statistics Index Mean...

Table 2

Summary statistics

Index	Mean	Std. Dev	Min	Max	Skewness	Kurtosis	S–W test
SSE	0.0271	0.0135	−0.0849	0.0576	−0.613	9.876	0.9143***
SZSE	0.0204	0.0113	−0.0933	0.0671	−0.490	10.260	0.9000***
MSCI AC Asia Pacific ESG leaders	0.0373	0.0127	−0.0628	0.0576	−0.572	6.138	0.9810***
MSCI China ESG leaders	0.0308	0.0088	−0.0527	0.0523	−0.178	9.429	0.9285***
SSE SUS	0.0260	0.0159	−0.0810	0.0684	−0.221	8.049	0.9590***
SSE ENV	0.0158	0.0186	−0.0915	0.0827	−0.101	8.862	0.9431***
SSE CG	0.0177	0.0153	−0.0879	0.0677	−1.900	9.242	0.9337***
BTC	0.4017	0.0541	−0.3517	0.5992	−0.401	11.874	0.8083***
WTI	−0.0411	0.0211	−0.3404	0.1741	−0.191	12.209	0.7803***
GOLD	0.0160	0.0260	−0.1348	0.1392	−0.390	9.061	0.9383***

Index	Mean	Std. Dev	Min	Max	Skewness	Kurtosis	S–W test
SSE	0.0271	0.0135	−0.0849	0.0576	−0.613	9.876	0.9143***
SZSE	0.0204	0.0113	−0.0933	0.0671	−0.490	10.260	0.9000***
MSCI AC Asia Pacific ESG leaders	0.0373	0.0127	−0.0628	0.0576	−0.572	6.138	0.9810***
MSCI China ESG leaders	0.0308	0.0088	−0.0527	0.0523	−0.178	9.429	0.9285***
SSE SUS	0.0260	0.0159	−0.0810	0.0684	−0.221	8.049	0.9590***
SSE ENV	0.0158	0.0186	−0.0915	0.0827	−0.101	8.862	0.9431***
SSE CG	0.0177	0.0153	−0.0879	0.0677	−1.900	9.242	0.9337***
BTC	0.4017	0.0541	−0.3517	0.5992	−0.401	11.874	0.8083***
WTI	−0.0411	0.0211	−0.3404	0.1741	−0.191	12.209	0.7803***
GOLD	0.0160	0.0260	−0.1348	0.1392	−0.390	9.061	0.9383***

Note(s): This table presents descriptive statistics for the SSE, SZSE, MSCI AC Asia Pacific ESG leaders, MSCI China ESG leaders, SSE SUS, SSE ENV, SSE CG, BTC, WTI and GOLD. This table presents the annualized mean, annualized median, maximum of the daily returns, minimum of the daily returns, annualized standard deviation (SD), skewness, kurtosis and the Shapiro–Wilk test for the daily return series during the period 2017–2020. Significance codes: *** express significance at the 0.99 level, ** at 0.95, * at 0.90

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