. 2021 May 25;45:102170. doi: 10.1016/j.frl.2021.102170

Table 1.

Descriptive statistics and correlation matrix.

Panel A: Descriptive statistics
	BRAZIL	CHINA	EMU	INDIA	RUSSIA	SOUTH AFRICA	UK	US	MCI
Mean	−0.0001	0.0041	0.0034	0.0045	0.0071	0.0023	0.0027	0.0021	67.8401
Median	−0.0064	−0.0019	0.0106	0.0000	−0.0026	0.0026	0.0022	−0.0052	73.6050
Maximum	1.0199	0.5289	0.8906	0.6818	0.5447	0.8460	0.9779	1.0398	82.5900
Minimum	−0.5047	−0.6052	−0.8437	−0.9778	−1.0245	−0.7244	−0.6311	−0.7326	0.3000
Std. Dev.	0.2086	0.1889	0.2437	0.2377	0.1959	0.2038	0.2210	0.2358	17.2446
Skewness	1.5706	−0.1165	0.3235	−0.3923	−0.4841	0.1695	0.4657	1.2275	−2.5984
Kurtosis	9.1985	3.7811	6.1817	5.4019	7.3238	6.0353	5.9324	8.5293	9.0862
Jarque–Bera	342.04^a	4.71^b	74.67^a	45.22^a	139.07^a	66.07^a	67.06^a	259.25^a	453.68^a
Observations	170	170	170	170	170	170	170	170	170
Panel B: Correlation matrix
	BRAZIL	CHINA	EMU	INDIA	MCI	RUSSIA	SOUTH AFRICA	UK	US
BRAZIL	1.0000	0.1966^a	0.2339^a	0.2800^a	–0.0824	0.2496^a	0.2933^a	0.1890^b	0.2647 ^a
CHINA		1.0000	0.1744^b	0.2624^a	–0.1055	–0.0588	0.1724^b	0.1336^c	0.1845^b
EMU			1.0000	0.4773^a	–0.0973	0.4324^a	0.6100^a	0.7101^a	0.4100^a
INDIA				1.0000	–0.0503	0.3437^a	0.3296^a	0.4003^a	0.2844^a
MCI					1.0000	–0.1525^b	–0.0732	–0.0906	–0.1167
RUSSIA						1.0000	0.4958^a	0.3851^a	0.0841
SOUTH AFRICA							1.0000	0.4981^a	0.2414^a
UK								1.0000	0.3841^a
US									1.0000

Notes: Panel A: Jarque-Bera test is conducted to check the normality of the volatility of ESG leader indices and the Media Coverage Index (MCI). Augmented Dickey-Fuller (ADF) test is conducted to check the unit root of variables. a, b and c represent significance at 1%, 5% and 10%, respectively.

Note: Panel B: a, b and c represent significance at 1%, 5% and 10%, respectively.