Emerald Publishing

Table S4

Sustainability equities (S&P) measures of IMFs obtained through I-CEEMDAN

	IMF1	IMF2	IMF3	IMF4	IMF5	IMF6	IMF7	IMF8	IMFF9	IMF10	RESID
S.PAA
$μ$	2.75	5.40	10.41	20.41	39.66	65.69	116.78	191.09	300.29	525.5
$ρ$	0.75**	0.47**	0.34**	0.24**	0.17**	0.13**	0.11**	0.07**	0.06**	0.03	−0.01
$σ_{1}^{2}$	56.18%	15.54%	11.72%	7.26%	3.20%	2.02%	1.16%	0.64%	0.64%	0.15%	0.09%
$σ_{2}^{2}$	56.18%	15.54%	11.72%	7.26%	3.20%	2.02%	1.16%	0.64%	0.64%	0.15%	0.09%
S.PBRICT
$μ$	2.80	5.86	11.61	23.62	47.77	100.10	191.09	350.33	420.40	525.50
$ρ$	0.75**	0.47**	0.33**	0.22**	0.16**	0.13**	0.09**	0.04*	0.02	−0.01	−0.01
$σ_{1}^{2}$	55.59%	20.55%	12.71%	5.43%	3.31%	0.03%	0.94%	0.33%	0.10%	0.02%	0.01%
$σ_{2}^{2}$	55.59%	20.55%	12.71%	5.43%	3.31%	0.03%	0.94%	0.33%	0.10%	0.02%	0.01%
S.PEA
$μ$	2.89	5.67	10.89	21.90	42.04	77.85	150.14	233.56	420.40	700.67
$ρ$	0.62**	0.52**	0.41**	0.31**	0.19**	0.18**	0.11**	0.10**	0.08**	0.01	0.02
$σ_{1}^{2}$	55.59%	20.55%	12.71%	5.43%	3.31%	0.03%	0.94%	0.33%	0.10%	0.02%	0.01%
$σ_{2}^{2}$	55.59%	20.55%	12.71%	5.43%	3.31%	0.03%	0.94%	0.33%	0.10%	0.02%	0.01%
S.PFBMIS
$μ$	2.70	5.65	11.55	21.67	39.66	75.07	150.14	300.29	420.40	700.67
$ρ$	0.74**	0.45**	0.33**	0.20**	0.15**	0.13**	0.10**	0.09**	0.06**	0.02	0.01
$σ_{1}^{2}$	54.98%	18.83%	12.02%	6.33%	2.43%	5.74%	2.98%	2.51%	0.58%	0.29%	0.07%
$σ_{2}^{2}$	54.98%	18.83%	12.02%	6.33%	2.43%	5.74%	2.98%	2.51%	0.58%	0.29%	0.07%
S.PGBMI
$μ$	2.79	5.77	11.06	19.64	34.46	63.70	116.78	191.09	350.33	525.50
$ρ$	0.74**	0.48**	0.34**	0.25**	0.19**	0.15**	0.10**	0.05**	0.05*	0.04*	0.02
$σ_{1}^{2}$	54.48%	16.35%	10.22%	6.21%	4.35%	3.23%	1.74%	0.30%	0.27%	0.17%	0.04%
$σ_{2}^{2}$	54.48%	16.35%	10.22%	6.21%	4.35%	3.23%	1.74%	0.30%	0.27%	0.17%	0.04%
S.PLABMI
$μ$	2.75	5.43	10.41	20.02	35.63	70.07	123.65	262.75	350.33	700.67
$ρ$	0.77**	0.49**	0.33**	0.22**	0.14**	0.14**	0.11**	0.07**	0.05*	0.03	−0.01
$σ_{1}^{2}$	55.70%	15.51%	9.93%	5.05%	3.80%	4.67%	1.43%	0.90%	0.30%	0.32%	0.01%
$σ_{2}^{2}$	55.70%	15.51%	9.93%	5.05%	3.80%	4.67%	1.43%	0.90%	0.30%	0.32%	0.01%
S.PNA
$μ$	2.78	5.62	10.95	21.67	42.04	87.58	150.14	210.40	300.29	700.67
$ρ$	0.63**	0.50**	0.39**	0.25**	0.16**	0.13**	0.08**	0.09**	0.05*	0.03	0.01
$σ_{1}^{2}$	48.84%	24.30%	17.56%	8.56%	4.13%	3.35%	1.60%	1.47%	0.49%	0.20%	0.02%
$σ_{2}^{2}$	48.84%	24.30%	17.56%	8.56%	4.13%	3.35%	1.60%	1.47%	0.49%	0.20%	0.02%
S.PPAFS
$μ$	2.76	5.40	10.20	20.41	36.88	70.07	131.38	262.75	300.29	420.40
$ρ$	0.68**	0.48**	0.36**	0.25**	0.17**	0.12**	0.12**	0.08**	0.08**	0.08**	0.04*
$σ_{1}^{2}$	53.04%	20.18%	12.90%	6.46%	4.92%	3.23%	2.62%	1.42%	0.10%	0.54%	0.30%
$σ_{2}^{2}$	53.04%	20.18%	12.90%	6.46%	4.92%	3.23%	2.62%	1.42%	0.10%	0.54%	0.30%
S.PSSA
$μ$	2.82	5.68	11.49	22.13	40.42	67.81	116.78	175.17	300.29	525.50
$ρ$	0.68**	0.53**	0.35**	0.24**	0.20**	0.18**	0.14**	0.07**	0.06**	0.06**	0.03
$σ_{1}^{2}$	46.51%	22.67%	11.85%	6.80%	3.70%	3.39%	1.70%	0.37%	0.64%	0.47%	0.02%
$σ_{2}^{2}$	46.51%	22.67%	11.85%	6.80%	3.70%	3.39%	1.70%	0.37%	0.64%	0.47%	0.02%

	IMF1	IMF2	IMF3	IMF4	IMF5	IMF6	IMF7	IMF8	IMFF9	IMF10	RESID
S.PAA
$μ$	2.75	5.40	10.41	20.41	39.66	65.69	116.78	191.09	300.29	525.5
$ρ$	0.75**	0.47**	0.34**	0.24**	0.17**	0.13**	0.11**	0.07**	0.06**	0.03	−0.01
$σ_{1}^{2}$	56.18%	15.54%	11.72%	7.26%	3.20%	2.02%	1.16%	0.64%	0.64%	0.15%	0.09%
$σ_{2}^{2}$	56.18%	15.54%	11.72%	7.26%	3.20%	2.02%	1.16%	0.64%	0.64%	0.15%	0.09%
S.PBRICT
$μ$	2.80	5.86	11.61	23.62	47.77	100.10	191.09	350.33	420.40	525.50
$ρ$	0.75**	0.47**	0.33**	0.22**	0.16**	0.13**	0.09**	0.04*	0.02	−0.01	−0.01
$σ_{1}^{2}$	55.59%	20.55%	12.71%	5.43%	3.31%	0.03%	0.94%	0.33%	0.10%	0.02%	0.01%
$σ_{2}^{2}$	55.59%	20.55%	12.71%	5.43%	3.31%	0.03%	0.94%	0.33%	0.10%	0.02%	0.01%
S.PEA
$μ$	2.89	5.67	10.89	21.90	42.04	77.85	150.14	233.56	420.40	700.67
$ρ$	0.62**	0.52**	0.41**	0.31**	0.19**	0.18**	0.11**	0.10**	0.08**	0.01	0.02
$σ_{1}^{2}$	55.59%	20.55%	12.71%	5.43%	3.31%	0.03%	0.94%	0.33%	0.10%	0.02%	0.01%
$σ_{2}^{2}$	55.59%	20.55%	12.71%	5.43%	3.31%	0.03%	0.94%	0.33%	0.10%	0.02%	0.01%
S.PFBMIS
$μ$	2.70	5.65	11.55	21.67	39.66	75.07	150.14	300.29	420.40	700.67
$ρ$	0.74**	0.45**	0.33**	0.20**	0.15**	0.13**	0.10**	0.09**	0.06**	0.02	0.01
$σ_{1}^{2}$	54.98%	18.83%	12.02%	6.33%	2.43%	5.74%	2.98%	2.51%	0.58%	0.29%	0.07%
$σ_{2}^{2}$	54.98%	18.83%	12.02%	6.33%	2.43%	5.74%	2.98%	2.51%	0.58%	0.29%	0.07%
S.PGBMI
$μ$	2.79	5.77	11.06	19.64	34.46	63.70	116.78	191.09	350.33	525.50
$ρ$	0.74**	0.48**	0.34**	0.25**	0.19**	0.15**	0.10**	0.05**	0.05*	0.04*	0.02
$σ_{1}^{2}$	54.48%	16.35%	10.22%	6.21%	4.35%	3.23%	1.74%	0.30%	0.27%	0.17%	0.04%
$σ_{2}^{2}$	54.48%	16.35%	10.22%	6.21%	4.35%	3.23%	1.74%	0.30%	0.27%	0.17%	0.04%
S.PLABMI
$μ$	2.75	5.43	10.41	20.02	35.63	70.07	123.65	262.75	350.33	700.67
$ρ$	0.77**	0.49**	0.33**	0.22**	0.14**	0.14**	0.11**	0.07**	0.05*	0.03	−0.01
$σ_{1}^{2}$	55.70%	15.51%	9.93%	5.05%	3.80%	4.67%	1.43%	0.90%	0.30%	0.32%	0.01%
$σ_{2}^{2}$	55.70%	15.51%	9.93%	5.05%	3.80%	4.67%	1.43%	0.90%	0.30%	0.32%	0.01%
S.PNA
$μ$	2.78	5.62	10.95	21.67	42.04	87.58	150.14	210.40	300.29	700.67
$ρ$	0.63**	0.50**	0.39**	0.25**	0.16**	0.13**	0.08**	0.09**	0.05*	0.03	0.01
$σ_{1}^{2}$	48.84%	24.30%	17.56%	8.56%	4.13%	3.35%	1.60%	1.47%	0.49%	0.20%	0.02%
$σ_{2}^{2}$	48.84%	24.30%	17.56%	8.56%	4.13%	3.35%	1.60%	1.47%	0.49%	0.20%	0.02%
S.PPAFS
$μ$	2.76	5.40	10.20	20.41	36.88	70.07	131.38	262.75	300.29	420.40
$ρ$	0.68**	0.48**	0.36**	0.25**	0.17**	0.12**	0.12**	0.08**	0.08**	0.08**	0.04*
$σ_{1}^{2}$	53.04%	20.18%	12.90%	6.46%	4.92%	3.23%	2.62%	1.42%	0.10%	0.54%	0.30%
$σ_{2}^{2}$	53.04%	20.18%	12.90%	6.46%	4.92%	3.23%	2.62%	1.42%	0.10%	0.54%	0.30%
S.PSSA
$μ$	2.82	5.68	11.49	22.13	40.42	67.81	116.78	175.17	300.29	525.50
$ρ$	0.68**	0.53**	0.35**	0.24**	0.20**	0.18**	0.14**	0.07**	0.06**	0.06**	0.03
$σ_{1}^{2}$	46.51%	22.67%	11.85%	6.80%	3.70%	3.39%	1.70%	0.37%	0.64%	0.47%	0.02%
$σ_{2}^{2}$	46.51%	22.67%	11.85%	6.80%	3.70%	3.39%	1.70%	0.37%	0.64%	0.47%	0.02%

Note(s): [*; **] show significance levels at 5 and 1%, respectively

Source(s): Table by authors

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