Table 1.
Descriptive statistics of daily returns.
| Index | Mean | Standard Deviation | Skewness | Kurtosis | Jarque-Bera test | ADF | ARCH-LM |
|---|---|---|---|---|---|---|---|
| Climate bond | 0.0076 | 0.1384 | −1.1104 | 10.125 | 1893.481*** | −24.041*** | 39.245*** |
| S&P 500 | 0.0376 | 1.3563 | −1.1837 | 24.299 | 15614.842*** | −8.378*** | 1595.729*** |
| Gold | 0.0442 | 0.7988 | 0.0207 | 9.717 | 1533.810*** | −28.233*** | 22.372*** |
| WTI | 0.0493 | 3.8695 | −0.4251 | 33.923 | 32537.027*** | −8.571*** | 20.098*** |
Notes: In this table, natural logarithmic returns are used for the indexes. The sample is 1 March 2017 to 30 June 2020. Jarque-Bera statistics are used to test the null hypothesis that the return series are normally distributed. ADF is the augmented Dickey Fuller statistics used to test the null hypothesis that the return series contains a unit root, which is conducted with an intercept. ARCH-LM statistics are used to test the null hypothesis that the return series exhibit heteroscedasticity at lag 10. ***p < 0.01.