Table 2.
Granger causality test results.
| USA | AUS | CAN | CHN | EUR | IND | JP | RUS | SA | UK | VIX | EPU | OIL | 10YTB | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| USA | 0.00 | 0.09 | 0.00 | 0.02 | 0.00 | 0.25 | 0.08 | 0.03 | 0.00 | 0.22 | 0.00 | 0.06 | 0.00 | 0.22 |
| AUS | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.06 | 0.00 | 0.00 |
| CAN | 0.00 | 0.00 | 0.00 | 0.00 | 0.02 | 0.28 | 0.01 | 0.87 | 0.00 | 0.00 | 0.00 | 0.03 | 0.00 | 0.46 |
| CHN | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.51 | 0.00 | 0.00 |
| EUR | 0.00 | 0.04 | 0.00 | 0.00 | 0.00 | 0.09 | 0.50 | 0.17 | 0.00 | 0.08 | 0.00 | 0.43 | 0.00 | 0.10 |
| IND | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.03 | 0.00 | 0.00 | 0.00 | 0.00 | 0.32 | 0.00 | 0.00 |
| JP | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.59 | 0.00 | 0.00 |
| RUS | 0.00 | 0.11 | 0.00 | 0.00 | 0.15 | 0.04 | 0.78 | 0.00 | 0.16 | 0.36 | 0.00 | 0.44 | 0.00 | 0.01 |
| SA | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.27 | 0.10 | 0.00 | 0.01 | 0.00 | 0.05 | 0.00 | 0.26 |
| UK | 0.00 | 0.32 | 0.00 | 0.00 | 0.00 | 0.00 | 0.65 | 0.03 | 0.00 | 0.00 | 0.00 | 0.46 | 0.00 | 0.02 |
| VIX | 0.00 | 0.62 | 0.00 | 0.40 | 0.11 | 0.62 | 0.04 | 0.18 | 0.23 | 0.42 | 0.00 | 0.35 | 0.01 | 0.09 |
| EPU | 0.00 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 | 0.05 | 0.01 | 0.25 | 0.00 | 0.00 | 0.00 | 0.26 | 0.10 |
| OIL | 0.00 | 0.12 | 0.00 | 0.06 | 0.01 | 0.01 | 0.29 | 0.00 | 0.02 | 0.00 | 0.00 | 0.08 | 0.00 | 0.01 |
| 10YTB | 0.10 | 0.54 | 0.17 | 0.00 | 0.16 | 0.44 | 0.12 | 0.12 | 0.21 | 0.11 | 0.49 | 0.25 | 0.03 | 0.00 |
Note: This table shows the p-values of the Granger causality test between the different pairs of our sample at 5% level. The sample includes ESG stock indices of USA, Australia, Canada, China, Europe, India, Japan, Russia, South Africa and the United Kingdom, as well as the 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.
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5.The European market is influenced by US, Australia, Canada, China and South Africa and influences all markets except Russia.
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6.There is a bi-directional relation between India-Australia, India-China, India-Japan, India-Russia, India-South Africa and Inida-UK. On the other hand, US, Canada and Europe do not seem to be influenced by the Indian market, while the Indian market is affected by them (USIndia, Canada India, Europe India)
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7.Japan and the rest of the remaining markets are mutually interacting, except the cases of Japan-US, Japan -Europe, Japan -Russia, Japan -South Africa and Japan -UK, where these relations are one-directional (USA Japan, Europe Japan, Russia Japan, South Africa Japan, UK Japan).
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8.A bi-directional Granger causality exist between Russia-USA, Russia-China and Russia-India. On the other hand, there is a lack of any interaction between Russia-Europe and Russia-South Africa. Furthermore, a one-way Granger causality occurs in the cases of Australia, Japan, UK and Canada (RussiaAustralia, Russia Japan, Russia UK, Russia Canada).
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9.A mutual interaction is observed between South Africa and the rest of the markets, with the exception of Russia where no dependency is documented, and Japan where the relationship is one-directional (South AfricaJapan).
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10.The only markets that do not affect the UK are Australia and Japan. On the other hand, the UK market does not affect the USA, Europe and Russia.
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11.Finally, among the global risk factors of our sample, the VIX volatility index and WTI crude oil price seem to be a great influence on all markets, while the EPU index appears to be affected by them. Changes in the US Treasury bond yield spread play a more neutral role in the causality among the sample markets.