Table 6 PVAR model estimation results.

From: ESG uncertainty, investor attention and stock price crash risk in China: evidence from PVAR model analysis

Variable

D (Uncertainty)

D (NCSKEW)

D (Attention)

L1. D (Uncertainty)

0.3746***

0.0837

0.4497***

(0.0170)

(0.0981)

(0.0495)

L2. D (Uncertainty)

0.0685***

−0.1267

0.2015***

 

0.0131

(0.0836)

(0.0427)

L1. D (NCSKEW)

−0.0007

0.0361***

−0.0554***

(0. 0013)

(0.0095)

(0.0055)

L2. D (NCSKEW)

0.0030**

−0.0164**

−0.0067

 

(0.0013)

(0.0104)

(0.0051)

L1. D (Attention)

0.0499***

−0.2340***

0.9771***

(0.0052)

(0.0408)

(0.0234)

L2. D (Attention)

0.0197***

0.0860***

−0.0549***

 

(0.0031)

(.0255)

(0.0109)

  1. Note: Standard errors are in parentheses. **, ** represent significance at 1%,5% and 10% levels, respectively.
Back to article page