Table 1.
Descriptive statistics.
| USA | AUS | CAN | CHN | EUR | IND | JP | RUS | SA | UK | VIX | EPU | OIL | 10YTB | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Mean | 0.00019 | −0.00015 | −0.00004 | 0.00016 | −0.00007 | 0.00008 | −0.00001 | 0.00002 | −0.00005 | −0.00019 | 2.96974 | 4.55114 | −0.00043 | 0.00012 |
| Median | 0.00031 | 0.00020 | 0.00042 | 0.00008 | 0.00014 | 0.00000 | 0.00024 | 0.00025 | 0.00045 | 0.00025 | 2.90279 | 4.53271 | 0.00000 | 0.00015 |
| Maximum | 0.10547 | 0.08763 | 0.11564 | 0.14773 | 0.10646 | 0.19506 | 0.11682 | 0.36829 | 0.11529 | 0.11499 | 4.25526 | 6.60843 | 0.22048 | 0.04053 |
| Minimum | −0.12925 | −0.15964 | −0.13944 | −0.09930 | −0.13745 | −0.14736 | −0.09553 | −0.23472 | −0.13186 | −0.13248 | 2.41368 | 1.19997 | −0.38829 | −0.02874 |
| Std. deviation | 0.01318 | 0.01651 | 0.01514 | 0.01699 | 0.01482 | 0.01634 | 0.01370 | 0.02688 | 0.02039 | 0.01450 | 0.32569 | 0.57977 | 0.02691 | 0.00489 |
| Skewness | −0.60097 | −0.81746 | −0.93445 | 0.23415 | −0.26767 | 0.04813 | −0.15266 | 0.07015 | −0.28121 | −0.49388 | 0.99229 | 0.01531 | −0.92229 | 0.03680 |
| Kurtosis | 16.93 | 12.70 | 17.01 | 10.56 | 12.00 | 15.64 | 9.01 | 23.31 | 6.96 | 15.16 | 3.87 | 3.61 | 28.13 | 6.59 |
| Jarque-Bera | 26670.26∗ | 13200.50∗ | 27237.00∗ | 7815.98∗ | 11087.03∗ | 21797.53∗ | 4935.53∗ | 56257.72∗ | 2178.67∗ | 20282.02∗ | 639.93∗ | 50.16∗ | 86593.46∗ | 1756.47∗ |
| Observations | 3273 | 3273 | 3273 | 3273 | 3273 | 3273 | 3273 | 3273 | 3273 | 3273 | 3273 | 3273 | 3273 | 3273 |
Note: This table presents the sample statistics (daily frequency) for the ESG stock indices of USA, Australia, Canada, China, Europe, India, Japan, Russia, South Africa, the United Kingdom, and for VIX index, US economic policy uncertainty (EPU) index, WTI crude oil (OIL) and US 10-year Treasury bond yield (10YTB) over the period 10/31/2007–04/15/2020. ∗ defines significance at 5% level.