Table A.2.

Correlation matrix of all variables.

	ROA	Return	Volatility	Liquidity	FTSEE	FTSES	FTSEG	FTSEESG	SPE	SPS	SPG	SPESG	Asset	Growth	Debt	BM	Stringency
ROA	1
Return	0.029	1
Volatility	−0.065	−0.077	1
Liquidity	0.379	0.005	0.172	1
FTSEE	−0.086	0.019	0.012	−0.099	1
FTSES	−0.036	0.057	0.014	−0.034	0.765	1
FTSEG	0.007	0.071	−0.018	0.019	0.405	0.587	1
FTSEESG	−0.048	0.053	0.006	−0.050	0.881	0.928	0.720	1
SPE	−0.058	0.021	0.011	−0.061	0.736	0.698	0.391	0.736	1
SPS	−0.055	0.016	−0.014	−0.044	0.611	0.617	0.359	0.637	0.877	1
SPG	−0.031	0.015	−0.016	−0.042	0.559	0.570	0.314	0.582	0.839	0.941	1
SPESG	−0.049	0.018	−0.006	−0.051	0.657	0.649	0.366	0.673	0.938	0.976	0.965	1
Asset	−0.282	−0.004	−0.069	−0.264	0.428	0.381	0.161	0.399	0.456	0.461	0.431	0.464	1
Growth	0.159	0.025	−0.091	0.045	0.003	0.041	0.036	0.023	0.002	0.016	0.008	0.010	0.029	1
Debt	−0.395	0.004	0.038	−0.162	0.040	0.036	0.062	0.053	0.028	0.090	0.067	0.067	0.437	−0.017	1
BM	−0.270	0.078	0.082	−0.169	0.025	0.071	0.088	0.063	−0.004	−0.011	−0.058	−0.023	0.145	−0.005	0.228	1
Covid	−0.076	0.120	0.214	−0.023	0.063	0.222	0.299	0.197	0.068	−0.027	−0.080	−0.017	0.000	0.018	0.031	0.353	1

Author’s calculation.