Table 1.
Descriptive statistics and unit root.
| ABB | Mean (%) | SD (%) | Skew | Kurt | ADF | JB | |
|---|---|---|---|---|---|---|---|
| S&P GREEN BOND INDEX | SPGRBND | −0.002 | 0.399 | −0.363 | 9.124 | −28.667*** | 4090.21*** |
| S&P 500 COMPOSITE INDEX | SPCOMP | 0.042 | 1.075 | −0.950 | 22.537 | −29.278*** | 41436.44*** |
| FTSE 100 | FTSE100 | 0.003 | 1.019 | −0.814 | 14.739 | −29.860*** | 15105.59*** |
| DAX 30 PERFORMANCE | DAXINDX | 0.028 | 1.278 | −0.593 | 11.718 | −28.657*** | 8324.11*** |
| SHANGHAI SE A SHARE | CHSASHR | 0.009 | 1.323 | −0.980 | 10.104 | −28.975*** | 5840.64*** |
| MSCI WORLD | MSWRLD | 0.027 | 0.940 | −1.208 | 21.804 | −28.213*** | 38654.48*** |
| MSCI EUROPE | MSEROP | 0.006 | 1.199 | −0.989 | 15.146 | −29.571*** | 16286.74*** |
| MSCI PACIFIC | MSPACF | 0.010 | 0.989 | −0.309 | 7.276 | −28.026*** | 2007.07*** |
| BOND INDEX | BOND | 0.005 | 0.396 | −0.437 | 71.846 | −29.237*** | 509809.10*** |
| S&P GSCI Commodity | SPGSCI | −0.035 | 1.297 | −0.865 | 12.987 | −28.532*** | 11047.53*** |
| US DOLLAR INDEX | USDXY | 0.007 | 0.437 | 0.077 | 4.792 | −28.880*** | 347.68*** |
| CRUDE OIL BRENT | OIL | −0.023 | 2.862 | −3.382 | 132.457 | −30.851*** | 1807229.00*** |
| GOLD | GOLD | 0.016 | 0.977 | −0.731 | 11.111 | −29.112*** | 7304.72*** |
ABB represents the abbreviation for the financial markets, SD represents the standard deviation, skewness represents Skewness, Kurt represents Kurtosis, JB represents the Jarque-Bera test of normality, and ADF represents the Augmented Dickey-Fuller test of stationarity. *** indicates significance at 1%.