Note(s): This table reports the Varying Conditional Correlation (VCC) and Constant Conditional Correlation (CCC) between the SSE 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