Table S3 Sustainability equity (Dow...

Table S3

Sustainability equity (Dow Jones) measures of IMFs obtained through I-CEEMDAN

	IMF1	IMF2	IMF3	IMF4	IMF5	IMF6	IMF7	IMF8	IMF9	IMF10	RESID
DJAT
$μ$	2.79	5.70	11.24	22.85	44.72	75.07	161.69	300.29	420.40	700.67
$ρ$	0.71**	0.5**	0.41**	0.25**	0.22**	0.11**	0.12**	0.05**	0.05*	0.01	−0.01
$σ_{1}^{2}$	50.93%	17.13%	12.06%	6.67%	4.69%	1.29%	1.19%	0.70%	0.33	0.03%	0.01%
$σ_{2}^{2}$	50.93%	17.13%	12.06%	6.67%	4.69%	1.29%	1.19%	0.70%	0.33	0.03%	0.01%
DJIME
$μ$	2.75	5.65	10.89	20.61	36.88	70.07	140.13	210.20	350.33	525.50
$ρ$	0.74**	0.45**	0.32**	0.20**	0.17**	0.12**	0.10**	0.04*	0.04*	0.01	−0.02
$σ_{1}^{2}$	59.78%	20.90%	12.08%	6.77%	2.80%	1.42%	1.11%	0.27%	0.40%	0.06%	0.01%
$σ_{2}^{2}$	59.78%	20.90%	12.08%	6.77%	2.80%	1.42%	1.11%	0.27%	0.40%	0.06%	0.01%
DJMENA
$μ$	2.68	5.35	10.72	20.02	38.22	67.81	105.10	175.17	262.75	420.40
$ρ$	0.68**	0.50**	0.32**	0.24**	0.19**	0.15**	0.10**	0.08**	0.04*	0.08**	0.03
$σ_{1}^{2}$	50.58%	24.60%	10.10%	5.98%	5.29%	3.58%	1.32%	1.64%	0.68%	1.0%	0.13%
$σ_{2}^{2}$	50.58%	24.60%	10.10%	5.98%	5.29%	3.58%	1.32%	1.64%	0.68%	1.0%	0.13%
DJSAP
$μ$	2.74	5.53	10.62	21.45	40.42	84.08	140.13	233.56	420.4	525.50
$ρ$	0.72**	0.49**	0.34**	0.24**	0.15**	0.12**	0.10**	0.05*	0.03	0.01	0.01
$σ_{1}^{2}$	54.97%	23.40%	10.74%	7.91%	2.65%	1.69%	0.72%	0.51%	0.02%	0.02%	0.01%
$σ_{2}^{2}$	54.97%	23.40%	10.74%	7.91%	2.65%	1.69%	0.72%	0.51%	0.02%	0.02%	0.01%
DJSE
$μ$	2.72	5.52	10.95	21.23	40.42	70.07	116.78	191.09	300.29	420.40
$ρ$	0.76**	0.44**	0.33**	0.21**	0.18**	0.12**	0.09**	0.06**	0.05*	0.02	−0.01
$σ_{1}^{2}$	60.38%	17.44%	11.26%	7.25%	3.20%	1.43%	0.70%	0.26%	0.18%	0.04%	0.02%
$σ_{2}^{2}$	60.38%	17.44%	11.26%	7.25%	3.20%	1.43%	0.70%	0.26%	0.18%	0.04%	0.02%
DJSEM
$μ$	2.80	5.87	11.68	23.36	50.05	95.55	175.17	300.29	420.40	700.67
$ρ$	0.73**	0.49**	0.36**	0.26**	0.17**	0.14**	0.09**	0.06**	0.03	0.01	0.02
$σ_{1}^{2}$	52.72%	19.31%	10.42%	6.56%	3.84%	2.71%	0.85%	0.51%	0.28%	0.17%	0.01%
$σ_{2}^{2}$	52.72%	19.31%	10.42%	6.56%	3.84%	2.71%	0.85%	0.51%	0.28%	0.17%	0.01%
DJSEZ
$μ$	2.71	5.59	10.62	20.81	38.22	77.85	161.69	300.29	420.40	700.67
$ρ$	0.73**	0.46**	0.37**	0.23**	0.19**	0.13**	0.07**	0.05*	0.01	0.01	−0.01
$σ_{1}^{2}$	55.97%	18.07%	13.18%	5.47%	3.86%	2.49%	1.55%	0.23%	0.12%	0.09%	0.02%
$σ_{2}^{2}$	55.97%	18.07%	13.18%	5.47%	3.86%	2.49%	1.55%	0.23%	0.12%	0.09%	0.02%
DJSNA
$μ$	2.73	5.36	10.20	18.94	35.63	61.82	110.63	161.69	300.29	420.40
$ρ$	0.82**	0.40**	0.31**	0.21**	0.17**	0.13**	0.08**	0.05*	0.04*	0.01	0.02
$σ_{1}^{2}$	66.12%	12.71%	8.63%	3.93%	3.20%	1.47%	1.13%	0.42%	0.21%	0.03%	0.01%
$σ_{2}^{2}$	66.12%	12.71%	8.63%	3.93%	3.20%	1.47%	1.13%	0.42%	0.21%	0.03%	0.01%
DJSUS
$μ$	2.74	5.29	10.11	18.44	33.37	60.06	105.10	175.17	300.29	420.40
$ρ$	0.82**	0.40**	0.30**	0.20**	0.17**	0.13**	0.09**	0.04*	0.03	0.02	0.02
$σ_{1}^{2}$	66.85%	13.02%	8.35%	3.51%	3.32%	1.60%	1.10%	0.27%	0.18%	0.06%	0.16%
$σ_{2}^{2}$	66.85%	13.02%	8.35%	3.51%	3.32%	1.60%	1.10%	0.27%	0.18%	0.06%	0.16%
DJSW
$μ$	2.79	5.68	10.89	20.81	36.24	63.70	116.78	150.14	350.33	525.50
$ρ$	0.76**	0.47**	0.36**	0.20**	0.20**	0.14**	0.09**	0.06**	0.05*	0.03	0.02
$σ_{1}^{2}$	55.33%	15.63%	11.41%	7.13%	4.08%	1.73%	1.07%	0.50%	0.38%	0.02%	0.01%
$σ_{2}^{2}$	55.33%	15.63%	11.41%	7.13%	4.08%	1.73%	1.07%	0.50%	0.38%	0.02%	0.01%
DJSWD
$μ$	2.78	5.70	10.89	20.02	37.54	65.69	123.65	210.20	300.36	420.40
$ρ$	0.76**	0.47**	0.35**	0.20**	0.20**	0.13**	0.09**	0.04*	0.04*	0.04*	0.01
$σ_{1}^{2}$	55.95%	15.58%	10.82%	7.03%	4.60%	1.71%	1.2%	0.26%	0.24%	0.10%	0.05%
$σ_{2}^{2}$	55.95%	15.58%	10.82%	7.03%	4.60%	1.71%	1.2%	0.26%	0.24%	0.10%	0.05%

	IMF1	IMF2	IMF3	IMF4	IMF5	IMF6	IMF7	IMF8	IMF9	IMF10	RESID
DJAT
$μ$	2.79	5.70	11.24	22.85	44.72	75.07	161.69	300.29	420.40	700.67
$ρ$	0.71**	0.5**	0.41**	0.25**	0.22**	0.11**	0.12**	0.05**	0.05*	0.01	−0.01
$σ_{1}^{2}$	50.93%	17.13%	12.06%	6.67%	4.69%	1.29%	1.19%	0.70%	0.33	0.03%	0.01%
$σ_{2}^{2}$	50.93%	17.13%	12.06%	6.67%	4.69%	1.29%	1.19%	0.70%	0.33	0.03%	0.01%
DJIME
$μ$	2.75	5.65	10.89	20.61	36.88	70.07	140.13	210.20	350.33	525.50
$ρ$	0.74**	0.45**	0.32**	0.20**	0.17**	0.12**	0.10**	0.04*	0.04*	0.01	−0.02
$σ_{1}^{2}$	59.78%	20.90%	12.08%	6.77%	2.80%	1.42%	1.11%	0.27%	0.40%	0.06%	0.01%
$σ_{2}^{2}$	59.78%	20.90%	12.08%	6.77%	2.80%	1.42%	1.11%	0.27%	0.40%	0.06%	0.01%
DJMENA
$μ$	2.68	5.35	10.72	20.02	38.22	67.81	105.10	175.17	262.75	420.40
$ρ$	0.68**	0.50**	0.32**	0.24**	0.19**	0.15**	0.10**	0.08**	0.04*	0.08**	0.03
$σ_{1}^{2}$	50.58%	24.60%	10.10%	5.98%	5.29%	3.58%	1.32%	1.64%	0.68%	1.0%	0.13%
$σ_{2}^{2}$	50.58%	24.60%	10.10%	5.98%	5.29%	3.58%	1.32%	1.64%	0.68%	1.0%	0.13%
DJSAP
$μ$	2.74	5.53	10.62	21.45	40.42	84.08	140.13	233.56	420.4	525.50
$ρ$	0.72**	0.49**	0.34**	0.24**	0.15**	0.12**	0.10**	0.05*	0.03	0.01	0.01
$σ_{1}^{2}$	54.97%	23.40%	10.74%	7.91%	2.65%	1.69%	0.72%	0.51%	0.02%	0.02%	0.01%
$σ_{2}^{2}$	54.97%	23.40%	10.74%	7.91%	2.65%	1.69%	0.72%	0.51%	0.02%	0.02%	0.01%
DJSE
$μ$	2.72	5.52	10.95	21.23	40.42	70.07	116.78	191.09	300.29	420.40
$ρ$	0.76**	0.44**	0.33**	0.21**	0.18**	0.12**	0.09**	0.06**	0.05*	0.02	−0.01
$σ_{1}^{2}$	60.38%	17.44%	11.26%	7.25%	3.20%	1.43%	0.70%	0.26%	0.18%	0.04%	0.02%
$σ_{2}^{2}$	60.38%	17.44%	11.26%	7.25%	3.20%	1.43%	0.70%	0.26%	0.18%	0.04%	0.02%
DJSEM
$μ$	2.80	5.87	11.68	23.36	50.05	95.55	175.17	300.29	420.40	700.67
$ρ$	0.73**	0.49**	0.36**	0.26**	0.17**	0.14**	0.09**	0.06**	0.03	0.01	0.02
$σ_{1}^{2}$	52.72%	19.31%	10.42%	6.56%	3.84%	2.71%	0.85%	0.51%	0.28%	0.17%	0.01%
$σ_{2}^{2}$	52.72%	19.31%	10.42%	6.56%	3.84%	2.71%	0.85%	0.51%	0.28%	0.17%	0.01%
DJSEZ
$μ$	2.71	5.59	10.62	20.81	38.22	77.85	161.69	300.29	420.40	700.67
$ρ$	0.73**	0.46**	0.37**	0.23**	0.19**	0.13**	0.07**	0.05*	0.01	0.01	−0.01
$σ_{1}^{2}$	55.97%	18.07%	13.18%	5.47%	3.86%	2.49%	1.55%	0.23%	0.12%	0.09%	0.02%
$σ_{2}^{2}$	55.97%	18.07%	13.18%	5.47%	3.86%	2.49%	1.55%	0.23%	0.12%	0.09%	0.02%
DJSNA
$μ$	2.73	5.36	10.20	18.94	35.63	61.82	110.63	161.69	300.29	420.40
$ρ$	0.82**	0.40**	0.31**	0.21**	0.17**	0.13**	0.08**	0.05*	0.04*	0.01	0.02
$σ_{1}^{2}$	66.12%	12.71%	8.63%	3.93%	3.20%	1.47%	1.13%	0.42%	0.21%	0.03%	0.01%
$σ_{2}^{2}$	66.12%	12.71%	8.63%	3.93%	3.20%	1.47%	1.13%	0.42%	0.21%	0.03%	0.01%
DJSUS
$μ$	2.74	5.29	10.11	18.44	33.37	60.06	105.10	175.17	300.29	420.40
$ρ$	0.82**	0.40**	0.30**	0.20**	0.17**	0.13**	0.09**	0.04*	0.03	0.02	0.02
$σ_{1}^{2}$	66.85%	13.02%	8.35%	3.51%	3.32%	1.60%	1.10%	0.27%	0.18%	0.06%	0.16%
$σ_{2}^{2}$	66.85%	13.02%	8.35%	3.51%	3.32%	1.60%	1.10%	0.27%	0.18%	0.06%	0.16%
DJSW
$μ$	2.79	5.68	10.89	20.81	36.24	63.70	116.78	150.14	350.33	525.50
$ρ$	0.76**	0.47**	0.36**	0.20**	0.20**	0.14**	0.09**	0.06**	0.05*	0.03	0.02
$σ_{1}^{2}$	55.33%	15.63%	11.41%	7.13%	4.08%	1.73%	1.07%	0.50%	0.38%	0.02%	0.01%
$σ_{2}^{2}$	55.33%	15.63%	11.41%	7.13%	4.08%	1.73%	1.07%	0.50%	0.38%	0.02%	0.01%
DJSWD
$μ$	2.78	5.70	10.89	20.02	37.54	65.69	123.65	210.20	300.36	420.40
$ρ$	0.76**	0.47**	0.35**	0.20**	0.20**	0.13**	0.09**	0.04*	0.04*	0.04*	0.01
$σ_{1}^{2}$	55.95%	15.58%	10.82%	7.03%	4.60%	1.71%	1.2%	0.26%	0.24%	0.10%	0.05%
$σ_{2}^{2}$	55.95%	15.58%	10.82%	7.03%	4.60%	1.71%	1.2%	0.26%	0.24%	0.10%	0.05%

Note(s): $μ$ ⁠, $ρ$ ⁠, $σ_{1}^{2}$ and $σ_{2}^{2}$ denote mean period, Pearson product moment correlations, variance as % of observed and variance as % of the sum of all IMFs and residue. [*; **] show significance levels at 5 and 1% respectively

Source(s): Table by authors

[ViewLarge]

Sharing Unavailable