Do energy prices, covid19, and financial uncertainty hinder the environment and social responsibility?

Figures & data

Table 1. Results of descriptive statistics.

Variables	Mean	Min.	Max.	Std. Dev.	J-B Stats
ESRI	0.0100	0.0085	0.0710	0.0132	18.0207***
OIL	0.3061	0.1602	0.401	1.0413	16.0138***
COVID	0.0612	0.0340	0.1215	0.4042	21.0183***
VIX	0.5010	0.1103	0.7020	1.0403	19.0519***

‘Note: The asterisk ***, ** and * represent the level of significance at 1%, 5%, and 10% respectively’.

Source: Author’s estimation.

Table 2. Results of Unit root test.

Variables	ADF (Level)	ADF (Δ)	ZA (Level)	Break Year	ZA (Δ)	Break Year
ESRI	−1.024	−5.009***	−2.003	08/09/2020	−7.011***	05/01/2021
OIL	−0.031	−3.010***	−1.010	29/05/2020	−9.020***	18/05/2020
COVID	−2.040	−6.011***	−3.001	11/03/2021	−6.019***	04/08/2021
VIX	−0.062	−4.005***	−1.012	17/04/2020	−8.010***	25/03/2020

‘Note: The values in the table specify statistical values of the ADF and ZA test. The asterisks ***, **, and * represent the level of significance at 1%, 5%, and 10%, respectively.

Source: Author Estimation’.

Table 3. Results of quantile autoregressive distributed lag (QARDL).

Quantiles	Constant	ECM	Long-Run Estimation			Short-Run Estimation
(τ)	α∗(τ)	ρ∗(τ)	βOIL(τ)	βCOVID(τ)	βVIX(τ)	φ1(τ)	ω0(τ)	λ0(τ)	θ0(τ)
0.05	0.023	−0.149***	−0.341*	0.221***	−0.050	0.409***	−0.038***	0.022**	0.006
	(0.007)	(−6.065)	(−1.647)	(4.310)	(−1.635)	(2.992)	(−3.462)	(2.016)	(−0.662)
0.10	0.014	−0.222***	−0.355*	0.222***	−0.061	0.400***	−0.043***	0.019**	0.024
	(0.011)	(−6.024)	(−1.854)	(3.708)	(−1.629)	(3.002)	(−3.002)	(1.983)	(−1.566)
0.20	0.020	−0.210***	−0.342*	0.217***	−0.045	0.419**	−0.037***	0.013*	0.038*
	(0.006)	(−5.731)	(−1.801)	(4.011)	(−1.639)	(2.880)	(−3.232)	(1.717)	(−1.649)
0.30	0.027	−0.248***	−0.376**	0.221***	−0.067*	0.430**	−0.031***	0.028*	0.022*
	(0.009)	(−5.327)	(−1.995)	(3.309)	(−1.649)	(1.972)	(−3.554)	(1.720)	(−1.810)
0.40	0.021	−0.314***	−0.353**	0.219	−0.056*	0.401*	−0.021***	0.039	0.042*
	(0.012)	(−5.657)	(−2.193)	(1.512)	(−1.767)	(1.754)	(−3.358)	(0.914)	(−1.746)
0.50	0.009	−0.326***	−0.335**	0.216	−0.039**	0.411*	−0.022***	0.020	0.012*
	(0.003)	(−4.747)	(−2.399)	(1.305)	(−1.984)	(1.819)	(−3.342)	(1.029)	(−1.692)
0.60	0.019	−0.336***	−0.347**	0.225	−0.059**	0.403*	−0.020**	0.044	0.043**
	(0.005)	(−4.064)	(−2.795)	(0.907)	(−1.995)	(1.651)	(−2.391)	(1.215)	(−1.969)
0.70	0.013	−0.324***	−0.352***	0.226	−0.051***	0.429**	−0.011	0.029	0.035**
	(0.004)	(−4.271)	(−2.993)	(1.613)	(−2.995)	(2.483)	(−1.221)	(0.735)	(−1.994)
0.80	0.018	−0.282***	−0.367***	0.210***	−0.065***	0.440**	−0.007	0.050	0.028**
	(0.007)	(−3.750)	(−3.001)	(3.104)	(−3.003)	(2.522)	(−1.094)	(0.827)	(−1.990)
0.90	0.014	−0.235***	−0.361***	0.230***	−0.057***	0.426**	−0.006	0.038	0.019**
	(0.010)	(−4.068)	(−2.994)	(3.806)	(−2.994)	(2.614)	(−1.038)	(0.638)	(−1.980)
0.95	0.024	−0.268***	−0.372***	0.218***	−0.069***	0.435**	−0.005	0.059	0.023**
	(0.008)	(−4.033)	(−3.002)	(4.315)	(−3.002)	(2.541)	(−0.941)	(0.628)	(−1.997)

‘Note: The table reports the quantile estimation results. The t-statistics are between brackets. ***, ** and * indicate significance at the 1%, 5% and 10% levels, respectively. Source: Author Estimations’.

Table 4. Results of the Wald test for the constancy of parameters.

Variables	Wald-statistics [p-value]
ρ	16.472***
	[0.000]
βOIL	9.361***
	[0.000]
βCOVID	6.603***
	[0.000]
βVIX	7.094***
	[0.000]
φ1	11.002***
	[0.000]
ω0	0.964
	[0.371]
λ0	4.568***
	[0.000]
θ0	0.337
	[0.893]

‘The p-values are between square brackets. ***, ** and * indicate significance at the 1%, 5% and 10% levels, respectively’.

‘Source: Author Estimations’.

Table 5. ‘Granger causality in quantile test results’.

Quantiles	ΔESRIt to ΔOILt	ΔOILt to ΔESRIt	ΔESRIt to ΔCOVIDt	ΔCOVIDt to ΔESRIt	ΔESRIt to ΔVIXt	ΔVIXt to ΔESRIt
[0.05–0.95]	0.000	0.000	0.000	0.000	0.000	0.000
0.05	0.000	0.000	0.000	0.000	0.000	0.000
0.10	0.000	0.000	0.000	0.000	0.000	0.000
0.20	0.000	0.000	0.000	0.000	0.000	0.000
0.30	0.000	0.000	0.000	0.000	0.000	0.000
0.40	0.000	0.000	0.000	0.000	0.000	0.000
0.50	0.000	0.000	0.000	0.000	0.000	0.000
0.60	0.000	0.000	0.000	0.000	0.000	0.000
0.70	0.000	0.000	0.000	0.000	0.000	0.000
0.80	0.000	0.000	0.000	0.000	0.000	0.000
0.90	0.000	0.000	0.000	0.000	0.000	0.000
0.95	0.000	0.000	0.000	0.000	0.000	0.000

‘Source: Authors Estimation’.