Table 1.
Descriptive statistics of the series.
| In level | ||||||
|---|---|---|---|---|---|---|
| ID-EMV | Green bond | Commodity | Treasury | Stock | Clean energy | |
| Mean | 20.6453 | 143.5026 | 1819.717 | 651.817 | 6296.015 | 1070.341 |
| Std. Dev. | 15.2113 | 4.7526 | 370.4905 | 14.2482 | 581.5979 | 179.4944 |
| Maximum | 68.37 | 152.3595 | 2642.496 | 679.6429 | 7358.49 | 1495.519 |
| Minimum | 0 | 133.1446 | 1249.251 | 621.684 | 4559.5 | 707.074 |
| Skewness | 0.7649 | 0.2193 | 0.8079 | 0.3597 | −0.7927 | 0.4417 |
| Kurtosis | 3.3579 | 2.383 | 2.4288 | 2.1506 | 3.0691 | 2.7045 |
| Jarque-Bera | 18.3063 | 4.2502 | 21.785 | 9.1889 | 18.6753 | 6.4352 |
| ADF | 0.1068 | 0.7928 | 0.1928 | 0.3722 | 0.7135 | 0.9287 |
| PP | 0.0057 | 0.8109 | 0.2171 | 0.4224 | 0.7041 | 0.9007 |
| KPSS | 0.2742 | 0.934 | 0.8663 | 1.3927 | 0.4526 | 0.8333 |
| In 1st difference | ||||||
| ID-EMV | Green bond | Commodity | Treasury | Stock | Clean energy | |
| Mean | 0.0118 | 0.0004 | −0.0024 | 0.0003 | 0.0002 | 0.0018 |
| Std. Dev. | 0.5052 | 0.0047 | 0.0241 | 0.0046 | 0.0249 | 0.0275 |
| Maximum | 1.8293 | 0.0201 | 0.0712 | 0.0176 | 0.0898 | 0.1103 |
| Minimum | −1.8294 | −0.0242 | −0.1252 | −0.0201 | −0.1276 | −0.125 |
| Skewness | 0.1634 | −1.3815 | −1.4838 | −0.7728 | −0.7637 | −1.2952 |
| Kurtosis | 2.1453 | 9.1229 | 7.8396 | 6.267 | 6.6735 | 6.3202 |
| Jarque-Bera | 32.203 | 638.3844 | 494.1319 | 291.4114 | 327.8927 | 327.8043 |
| ADF | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| PP | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| KPSS | 0.1806 | 0.1837 | 0.39 | 0.0237 | 0.174 | 0.1954 |
Notes: The Jarque-Bera statistics tests the null hypothesis of the normality of the sample return distribution. ADF and PP are the statistics of the unit root test based on the least AIC criterion, respectively. Kwiatkowski-Phillips-Schmidt-Shin is a test of the null hypothesis of stationary. The values in ADF and PP tests are p-values. KPSS is a test of the null hypothesis of stationary.