Table 4.
Statistics for the time-varying volatilities and correlations.
| Panel A: Univariate marginals’ distributions. Conditional volatilities | ||||||
|---|---|---|---|---|---|---|
| ESG equities | Traditional equities | Gold | Crude oil | Bitcoin | Treasury bonds | |
| Mean | 0.2096 | 0.1635 | 0.1521 | 0.4006 | 0.8552 | 0.0650 |
| Std. Dev. | 0.1370 | 0.1311 | 0.0405 | 0.2591 | 0.1333 | 0.0340 |
| Max | 1.1543 | 1.2121 | 0.3597 | 1.8701 | 1.5286 | 0.4297 |
| Min | 0.0905 | 0.0720 | 0.1037 | 0.2197 | 0.6723 | 0.0437 |
| Q1 | 0.1371 | 0.0994 | 0.1245 | 0.2775 | 0.7622 | 0.0528 |
| Q2 | 0.1740 | 0.1264 | 0.1437 | 0.3214 | 0.8181 | 0.0581 |
| Q3 | 0.2350 | 0.1757 | 0.1635 | 0.4029 | 0.9236 | 0.0657 |
| Panel B: Multivariate distribution. Time-varying Kendall’s tau | ||||||
| Traditional equities | Gold | Crude oil | Bitcoin | Treasury bonds | ||
| Mean | ESG equities correlation with | 0.6856 | 0.1761 | 0.2131 | 0.2400 | 0.2338 |
| Std. Dev. | 0.0781 | 0.0580 | 0.1034 | 0.0454 | 0.0966 | |
| Max | 0.8971 | 0.3480 | 0.4394 | 0.4903 | 0.4346 | |
| Min | 0.4136 | 0.0300 | −0.0412 | 0.1734 | −0.1295 | |
| Q1 | 0.6418 | 0.1349 | 0.1467 | 0.2067 | 0.1769 | |
| Q2 | 0.6845 | 0.1767 | 0.2149 | 0.2279 | 0.2433 | |
| Q3 | 0.7271 | 0.2137 | 0.2907 | 0.2609 | 0.2961 | |
This table reports on the summary statistics of the trends and patterns described by each of the single asset volatilities (Panel A) and the different dependence structures among asset-ESG pairs in terms of Kendall’s tau (Panel B).