Figures & data
Table 1. Results for basic- and pooled OLS and asymmetries for the Oil & Gas sector. Where the Oil & Gas portfolio return is the dependent variable for the normal OLS regression and β1, β2, β3, β4, β5, δ are the coefficients of the explanatory variables.
Table 2. Results for basic- and pooled OLS and asymmetries for the Power & Heat sector. Where the Power & Heat portfolio return is the dependent variable for the normal OLS regression and β1, β2, β3, β4, β5, δ are the coefficients of the explanatory variables.
Table 3. Results for basic- and pooled OLS and asymmetries for Cement & Lime. Where the Cement & Lime portfolio return is the dependent variable for the normal OLS regression and β1, β2, β3, β4, β5, δ are the coefficients of the explanatory variables.
Table 4. Results for basic- and pooled OLS and asymmetries for Iron & Steel. Where the Iron & Steel portfolio return is the dependent variable for the normal OLS regression and β1, β2, β3, β4, β5, δ are the coefficients of the explanatory variables.
Table 5. Results for GARCH-estimation for the four different sectors. Dependent variables are the portfolio returns per sector and β1, β2, β3, β4, β5, β6, β7, δ, b, c, d1, d2, d3, d4, d5, d6 are the coefficients of the explanatory variables.
Table A1. Descriptive statistics of prices of the explanatory variables.
Table A2. Descriptive statistics of returns of the explanatory variables.
Table A3. Correlation matrix of returns of explanatory variables.
Table A4. Country-specific results for the four different industries.
Appendix B1. Countries per sector tested for country-specific effects.
Appendix B2. Industries covered by the EU ETS.