Asymmetric Impact of Heterogenous Uncertainties on the Green Bond Market

Table 2

Unit root test estimation.

Variables	I(0)		I(1)
	PP	ADF	PP	ADF
lnGB	−1.6303	−1.8827	−3.9913	−4.0408
lnCPU	−4.3486	−4.5008	−16.5563	−6.0516
lnGPR	−3.4999	−3.6278	−12.9350	−11.3973
lnGEPU	−3.1040	−2.4996	−15.9108	−11.9539

Notes. and indicate 5% and 1% levels of significance. lnGB represents green bond returns, lnCPU indicates climate policy uncertainty, lnGPR represents geopolitical risk, and lnGEPU indicates global economic policy uncertainty.