Table 3 Correlation matrix
Panel (A): Pearson’s correlation between variables | ||||||
|---|---|---|---|---|---|---|
Variables | Stock return | TS | Beta | Size | GRI | Fed_Asset |
Stock return | 1.000 | |||||
TS | 0.027 | 1.000 | ||||
Beta | 0.058 | − 0.006 | 1.000 | |||
Size | 0.014 | − 0.078 | − 0.012 | 1.000 | ||
GRI | 0.077 | 0.002 | − 0.007 | − 0.075 | 1.000 | |
Fed_Asset | 0.087 | 0.027 | − 0.018 | − 0.045 | 0.950 | 1.000 |
Panel (B): Pearson’s correlation between lagged values of TS | ||||
|---|---|---|---|---|
TS(t − 1) | TS(t − 2) | TS(t − 3) | TS(t − 4) | |
TS(t − 1) | 1.000 | |||
TS(t − 2) | 0.354 | 1.000 | ||
TS(t − 3) | 0.303 | 0.395 | 1.000 | |
TS(t − 4) | 0.288 | 0.286 | 0.353 | 1.000 |