Did green debt instruments aid diversification during the COVID-19 pandemic?

Financial Innovation

Table 6 Robustness Test

This table provides the results for robustness test using time series adjusted returns. Panel A provides the VAR Granger causality WALD test for the pre-COVID-19 period (March 4, 2019 to March 1, 2020) and Panel B provides VAR Granger causality WALD test for the COVID-19 period (March 2, 2020 to December 4, 2020). First column presenting the dependent variable. *, **, *** denote significance at 10%, 5%, 1% respectively. Two steps are performed. In the first step, time series adjusted returns have been calculated based on the regression equation: \({ER}_{t}=\alpha +{\beta }_{1}{Mkt}_{t}+{\beta }_{2}{Ex}_{t-1}+{\beta }_{3}{Vol}_{t}+{\beta }_{4}{Day}_{t}+{\varepsilon }_{t}\) where \({ER}_{t}\) is excess returns (raw returns in excess of the short rate), \({Mkt}_{t}\) is the excess market return (which we proxy using the Jakarta stock exchange price), \({Ex}_{t-1}\) is the bilateral exchange rate (Rupiah vis-à-vis the US dollar), \(Vol\) is the stock market return volatility and \(Day\) is the day-of-the-week effect, where Monday, Tuesday, Thursday and Friday dummies are used