OLS with Newey–West standard errors result
| Index | SSE | SZSE |
|---|---|---|
| ChinaESG (−1) *Covid | −0.0560 (0.177) | 0.0469 (0.171) |
| AsiaESG (−1) *Covid | −0.133 (0.160) | −0.176 (0.149) |
| BTC (−1) * Covid | 0.0128 (0.0206) | −0.00467 (0.0193) |
| WTI (−1) * Covid | −0.0302 (0.0687) | 0.00373 (0.0579) |
| GOLD (−1) * Covid | 0.0548 (0.0529) | 0.0535 (0.0471) |
| AsiaESG (−1) | −0.0322 (0.0756) | −0.0410 (0.0571) |
| ChinaESG (−1) | 0.0846* (0.0451) | 0.0804** (0.0387) |
| BTC (−1) | 0.00319 (0.00569) | 0.00455 (0.00438) |
| WTI (−1) | 0.0562** (0.0240) | 0.0488*** (0.0168) |
| GOLD (−1) | 0.00562 (0.0156) | 0.00297 (0.0125) |
| Covid | −0.00135 (0.00216) | −0.00199 (0.00219) |
| Observations | 1,259 | 1,259 |
| R-squared | 0.028 | 0.040 |
| Index | SSE | SZSE |
|---|---|---|
| ChinaESG (−1) *Covid | −0.0560 (0.177) | 0.0469 (0.171) |
| AsiaESG (−1) *Covid | −0.133 (0.160) | −0.176 (0.149) |
| BTC (−1) * Covid | 0.0128 (0.0206) | −0.00467 (0.0193) |
| WTI (−1) * Covid | −0.0302 (0.0687) | 0.00373 (0.0579) |
| GOLD (−1) * Covid | 0.0548 (0.0529) | 0.0535 (0.0471) |
| AsiaESG (−1) | −0.0322 (0.0756) | −0.0410 (0.0571) |
| ChinaESG (−1) | 0.0846* (0.0451) | 0.0804** (0.0387) |
| BTC (−1) | 0.00319 (0.00569) | 0.00455 (0.00438) |
| WTI (−1) | 0.0562** (0.0240) | 0.0488*** (0.0168) |
| GOLD (−1) | 0.00562 (0.0156) | 0.00297 (0.0125) |
| Covid | −0.00135 (0.00216) | −0.00199 (0.00219) |
| Observations | 1,259 | 1,259 |
| 0.028 | 0.040 |
Note(s): This table reports the estimates of OLS model with Newey–West standard errors during the total period (Jan. 2017–Oct. 2020). The dependent variables are SSE and SZSE which represent Chinese stock market benchmark. The target variables are the ChinaESG*Covid, AsiaESG*Covid BTC*Covid, WTI*Covid and GOLD*Covid which capture safe-haven asset properties of selected indexes. Index definitions are provided in Table 1. The superscripts ***, ** and * denote coefficients statistically different from zero at the 1%. 5% and 10% levels, respectively, in two-tailed tests