Note(s): This table reports parameters estimates and log-likelihood values for the Dynamic Conditional Correlation (DCC) MGARCH for the SZSE and MSCI AC Asia Pacific ESG leaders, MSCI China ESG leaders, BTC, WTI and GOLD used in our analysis during the whole period considered (January 2017–October 2020). Index definitions are provided in Table 1. Significance codes: *** express significance at the 0.99 level, ** at 0.95, * at 0.90