Renewable Energy Market	$\mathit{\alpha }$	${\mathit{\gamma }}_1$	${\mathit{\gamma }}_2$	${\mathit{\gamma }}_3$	${\mathit{\gamma }}_4$	${\mathit{\gamma }}_5$	${\mathit{\gamma }}_6$	${\mathit{\gamma }}_7$	${\mathit{\gamma }}_8$	adj. ${\mathit{R}}^2$	F-stat.
USA	0.841*** (0.043)	0.004 (0.016)	0.502*** (0.018)	0.016*** (0.001)	−0.001 (0.001)	−0.005 (0.008)	0.006 (0.009)	−0.002* (0.001)	0.302*** (0.024)	0.683	258.01
Euro	0.713*** (0.029)	0.003 (0.011)	0.434*** (0.047)	−0.002 (0.016)	−0.001 (0.001)	0.010*** (0.002)	0.016*** (0.003)	−0.003*** (0.001)	0.179*** (0.012)	0.415	189.08
Asia	1.113*** (0.053)	0.027*** (0.008)	0.441*** (0.023)	0.013*** (0.004)	−0.001 (0.001)	0.010** (0.004)	0.022** (0.010)	−0.002*** (0.001)	0.138*** (0.029)	0.527	415.48

1. The table reports estimates for the model $CSA{D}_{i,t}=\alpha +{\gamma }_1{R}_{m\_i,t}+{\gamma }_2\left|R_{m\_i,t}\right|+{\gamma }_3{R}_{m\_i,t}^2+{\gamma }_4{R}_{oil,t-1}^2+{\gamma }_5{D}_t^{up,oil}{R}_{m,t-1}^2+{\mathit{\gamma }}_6{D}_t^{down,oil}{R}_{m,t-1}^2+{\mathit{\gamma }}_7{R}_{m_j,t-1}^2+{\mathit{\gamma }}_{8}CSA{D}_{j,\text{t}-1}+{\epsilon }_t$, where $i=renewableenergysectorinU.S.,EuropeandAsia$, $j=traditionalenergysectorinU.S.andAsia$. The cross-sector herding effects are present if ${\gamma }_7$ is negative, and risk spillover effects are present if ${\gamma }_8$ is positive.

2. All F-statistics are significant at 1%. White's heteroskedasticity-robust standard errors are in parentheses, *, **, and *** denote significance at 10%, 5% and 1%, respectively.