Table 4.
Determinants of interdependence of sustainable investments.
| TCI | SII | |
|---|---|---|
| C | −1.9757*** | 0.1168 |
| (0.4131) | (0.1062) | |
| VIX | 0.2188** | 0.0648** |
| (0.1015) | (0.0268) | |
| OVX | 0.1374* | −0.0084 |
| (0.0768) | (0.0202) | |
| GVZ | 0.5773*** | 0.1635*** |
| (0.1094) | (0.0295) | |
| EVZ | 0.1931** | 0.0965*** |
| (0.0841) | (0.0234) | |
| MOV | −0.2714** | −0.0487 |
| (0.1292) | (0.0323) | |
| EMV | 0.0070 | 0.0006 |
| (0.0056) | (0.0013) | |
| USEPU | 0.2109*** | 0.0722*** |
| (0.0285) | (0.0080) | |
| UKEPU | 0.1733*** | 0.0439*** |
| (0.0305) | (0.0077) | |
| Adjusted R2 | 54.112% | 54.548% |
Note: This regression is based on HAC (Newey-West) heteroscedasticity-consistent standard errors & covariance. This table presents the results for the impact of global factors, based on using the indexes for the CBOE Stock market volatility (VIX), CBOE Oil market volatility (OVX), CBOE Eurocurrency Volatility Index (EVZ), Treasury market volatility (MOVE), Gold market volatility (GVZ), US Economic Policy Uncertainty (USEPU), UK Economic Policy Uncertainty (UKEPU), and Infectious diseases tracker (EMV), respectively. TCI and SII represent Total Connectedness Index and System Integration Index, respectively. The values in () are standard errors. The asterisks ** and *** stand for significance at 10, 5 and 1% levels of significance, respectively.