Table 2.
Summary Statistics: This table reports the mean (Mean), standard deviation (Std), median (Median), minimum (Min), 25th percentiles (P25), 50th percentiles (P50), 75th percentiles (P75) and maximum (Max) of stock return, ESG scores during the 2020 COVID-19 pandemic period, and other control variables for the CSI300 stock listed in the Shenzhen Stock Exchange (SZSE) and Shanghai Stock Exchange (SHSE). There are 300 Mainland CSI300 A-share stocks in our sample. r[-1,1] refers to cumulative raw returns (in percentage terms) over the three- trading day window (i.e., Jan 23 Feb 4, 2020) around the Wuhan lockdown during the COVID-19 outbreak. r[-2,2] refers to cumulative raw returns over the five-day window (i.e., Jan 22 Feb 5, 2020). r[-5,5] refers to cumulative raw returns over the eleven-day window (i.e., Jan 17 Feb 10, 2020). car[-1,1], car[-2,2] and car[-5,5] refer to three-, five- and eleven-day cumulative abnormal stock returns centering on Feb 3rd, 2020 based obtained using a standard market model. Ln(BM) is the logarithm of book to market ratio computed as the ratio of book value per share to the stock close price per share. Ln(Size) is the market value equity of stock computed as the logarithm of the stock close price and number of outstanding shares two weeks prior to the pandemic (Jan 8,2020). Leverage is ratio of total liability to total assets. All variables are winsorized at 1% and 99%.
| Stats | N | Mean | Std | Min | P25 | P50 | P75 | Max |
|---|---|---|---|---|---|---|---|---|
| r[-1,1] | 300 | -10 | 5.575 | -19.86 | -13.9 | -10.46 | -6.526 | 5.291 |
| r[-2,2] | 300 | -7.833 | 6.749 | -29.56 | -12.21 | -8.652 | -5.075 | 21.53 |
| r[-5,5] | 300 | -5.32 | 9.47 | -23.53 | -11.09 | -7.69 | -2.61 | 26.14 |
| car[-1,1] | 300 | -10.18 | 5.71 | -23.36 | -14.12 | -10.83 | -6.67 | 7.91 |
| car[-2,2] | 300 | -8.18 | 6.36 | -19.70 | -12.55 | -9.14 | -5.75 | 12.19 |
| car[-5,5] | 300 | -6.12 | 9.28 | -26.58 | -11.36 | -8.10 | -3.94 | 24.41 |
| Ln(BM) | 300 | -0.435 | 1.048 | -3.13 | -1.186 | -0.375 | 0.253 | 3.49 |
| Ln(Size) | 300 | 24.65 | 1.034 | 21.86 | 24.09 | 24.49 | 25.17 | 28.1 |
| Leverage | 300 | 0.562 | 0.223 | 0.0435 | 0.402 | 0.57 | 0.736 | 0.94 |
| E | 300 | 50.98 | 8.29 | 27.85 | 45.39 | 49.63 | 56.78 | 83.45 |
| S | 300 | 54.57 | 6.804 | 30.51 | 50.38 | 54.04 | 58.82 | 72.73 |
| G | 300 | 45.67 | 7.015 | 27.23 | 41.29 | 45.26 | 50 | 70.69 |
| ESG_mngt | 300 | 15.03 | 6.378 | 4.25 | 9.938 | 13.38 | 19.81 | 33.38 |
| ESG_total | 300 | 50.45 | 5.338 | 40.38 | 46.25 | 49.63 | 54.38 | 62.88 |