Table S5 Conventional equities (NASDAQ)...

Table S5

Conventional equities (NASDAQ) measures of IMFs obtained through I-CEEMDAN

	IMF1	IMF2	IMF3	IMF4	IMF5	IMF6	IMF7	IMF8	IMF9	IMF10	RESID
NAMERICAI
$μ$	2.73	5.24	10.25	18.44	32.84	61.82	116.78	210.20	350.33	420.40
$ρ$	0.81**	0.40**	0.31**	0.19**	0.16**	0.13**	0.08**	0.03	0.02	0.03	0.02
$σ_{1}^{2}$	63.40%	12.85%	11.35%	3.96%	3.44%	2.77%	1.10%	0.23%	0.05%	0.08%	0.04%
$σ_{2}^{2}$	63.40%	12.85%	11.35%	3.96%	3.44%	2.77%	1.10%	0.23%	0.05%	0.08%	0.04%
NAREITs
$μ$	2.70	5.50	10.20	19.46	37.54	67.81	123.65	210.20	350.33	525.50
$ρ$	0.78**	0.46**	0.23**	0.24**	0.15**	0.11**	0.08**	0.04*	0.04*	0.01	−0.01
$σ_{1}^{2}$	61.04%	19.44%	9.72%	8.36%	2.57%	1.26%	1.05%	0.25%	0.14%	0.01%	0.01%
$σ_{2}^{2}$	61.04%	19.44%	9.72%	8.36%	2.57%	1.26%	1.05%	0.25%	0.14%	0.01%	0.01%
NASIAI
$μ$	2.69	5.47	10.56	21.45	39.66	70.07	150.14	300.29	420.40	420.40
$ρ$	0.72**	0.50**	0.37**	0.24**	0.17**	0.12**	0.10**	0.06**	0.03	0.01	0.01
$σ_{1}^{2}$	52.34%	20.97%	12.34%	7.46%	2.85%	1.30%	1.20%	0.30%	0.09%	0.02%	0.01%
$σ_{2}^{2}$	52.34%	20.97%	12.34%	7.46%	2.85%	1.30%	1.20%	0.30%	0.09%	0.02%	0.01%
NBRICI
$μ$	2.76	5.89	11.74	23.10	43.79	87.58	150.14	300.29	420.40	700.67
$ρ$	0.75**	0.47**	0.37**	0.23**	0.16**	0.17**	0.08**	0.06**	0.03	0.01	−0.01
$σ_{1}^{2}$	55.19%	16.61%	11.46%	6.08%	2.34%	3.23%	0.66%	0.63%	0.26%	0.07%	0.01%
$σ_{2}^{2}$	55.19%	16.61%	11.46%	6.08%	2.34%	3.23%	0.66%	0.63%	0.26%	0.07%	0.01%
NDMI
$μ$	2.83	5.65	10.56	18.77	33.36	61.82	100.10	175.17	350.33	700.67
$ρ$	0.75**	0.45**	0.36**	0.18**	0.16**	0.13**	0.10**	0.06**	0.05*	0.02	0.01
$σ_{1}^{2}$	57.23%	14.39%	12.15%	6.50%	6.60%	2.96%	2.10%	0.31%	0.44%	0.12%	0.04%
$σ_{2}^{2}$	57.23%	14.39%	12.15%	6.50%	6.60%	2.96%	2.10%	0.31%	0.44%	0.12%	0.04%
NEMI
$μ$	2.81	6.01	12.22	23.62	42.90	84.08	131.38	233.56	350.33	525.50
$ρ$	0.74**	0.47**	0.36**	0.21**	0.19**	0.15**	0.13**	0.06**	0.05*	0.01	0.01
$σ_{1}^{2}$	53.96%	17.40%	11.69%	6.11%	3.22%	2.04%	2.04%	0.84%	0.81%	0.18%	0.05%
$σ_{2}^{2}$	53.96%	17.40%	11.69%	6.11%	3.22%	2.04%	2.04%	0.84%	0.81%	0.18%	0.05%
NEUROPI
$μ$	2.74	5.62	10.72	19.28	36.88	65.69	105.10	191.09	350.33	700.67
$ρ$	0.72**	0.45**	0.35**	0.24**	0.16**	0.12**	0.10**	0.60**	0.03	0.01	0.01
$σ_{1}^{2}$	58.16%	20.48%	12.05%	6.28%	2.79%	1.67%	1.16%	1.01%	0.49%	0.14%	0.07%
$σ_{2}^{2}$	58.16%	20.48%	12.05%	6.28%	2.79%	1.67%	1.16%	1.01%	0.49%	0.14%	0.07%
NEUROZI
$μ$	2.71	5.64	10.95	20.41	39.66	67.81	116.78	191.10	300.29	420.40
$ρ$	0.73**	0.47**	0.37**	0.21**	0.17**	0.13**	0.09**	0.07**	0.05*	0.03	0.02
$σ_{1}^{2}$	55.73%	19.16%	12.88%	4.66%	4.35%	2.29%	1.44%	0.68%	0.16%	0.09%	0.01%
$σ_{2}^{2}$	55.73%	19.16%	12.88%	4.66%	4.35%	2.29%	1.44%	0.68%	0.16%	0.09%	0.01%
NGMCI
$μ$	2.75	5.45	11.12	19.64	38.93	80.85	131.38	262.75	420.40	700.67
$ρ$	0.78**	0.44**	0.37**	0.24**	0.16**	0.12**	0.08**	0.06**	0.03	0.02	−0.01
$σ_{1}^{2}$	57.74%	13.67%	11.77%	6.03%%	3.19%	2.21%	0.70%	0.39%	0.21%	0.01%	0.01%
$σ_{2}^{2}$	57.74%	13.67%	11.77%	6.03%%	3.19%	2.21%	0.70%	0.39%	0.21%	0.01%	0.01%
NGVOLNDX
$μ$	2.94	5.50	10.72	20.61	34.46	56.81	87.58	161.69	262.75	525.50
$ρ$	0.73**	0.41**	0.18**	0.10**	0.06**	0.01	0.01	0.01	0.01	−0.01	0.01
$σ_{1}^{2}$	77.94%	38.55%	14.70%	5.36%	2.90%	2.12%	3.42%	0.63%	0.01%	0.01%	0.01%
$σ_{2}^{2}$	77.94%	38.55%	14.70%	5.36%	2.90%	2.12%	3.42%	0.63%	0.01%	0.01%	0.01%

	IMF1	IMF2	IMF3	IMF4	IMF5	IMF6	IMF7	IMF8	IMF9	IMF10	RESID
NAMERICAI
$μ$	2.73	5.24	10.25	18.44	32.84	61.82	116.78	210.20	350.33	420.40
$ρ$	0.81**	0.40**	0.31**	0.19**	0.16**	0.13**	0.08**	0.03	0.02	0.03	0.02
$σ_{1}^{2}$	63.40%	12.85%	11.35%	3.96%	3.44%	2.77%	1.10%	0.23%	0.05%	0.08%	0.04%
$σ_{2}^{2}$	63.40%	12.85%	11.35%	3.96%	3.44%	2.77%	1.10%	0.23%	0.05%	0.08%	0.04%
NAREITs
$μ$	2.70	5.50	10.20	19.46	37.54	67.81	123.65	210.20	350.33	525.50
$ρ$	0.78**	0.46**	0.23**	0.24**	0.15**	0.11**	0.08**	0.04*	0.04*	0.01	−0.01
$σ_{1}^{2}$	61.04%	19.44%	9.72%	8.36%	2.57%	1.26%	1.05%	0.25%	0.14%	0.01%	0.01%
$σ_{2}^{2}$	61.04%	19.44%	9.72%	8.36%	2.57%	1.26%	1.05%	0.25%	0.14%	0.01%	0.01%
NASIAI
$μ$	2.69	5.47	10.56	21.45	39.66	70.07	150.14	300.29	420.40	420.40
$ρ$	0.72**	0.50**	0.37**	0.24**	0.17**	0.12**	0.10**	0.06**	0.03	0.01	0.01
$σ_{1}^{2}$	52.34%	20.97%	12.34%	7.46%	2.85%	1.30%	1.20%	0.30%	0.09%	0.02%	0.01%
$σ_{2}^{2}$	52.34%	20.97%	12.34%	7.46%	2.85%	1.30%	1.20%	0.30%	0.09%	0.02%	0.01%
NBRICI
$μ$	2.76	5.89	11.74	23.10	43.79	87.58	150.14	300.29	420.40	700.67
$ρ$	0.75**	0.47**	0.37**	0.23**	0.16**	0.17**	0.08**	0.06**	0.03	0.01	−0.01
$σ_{1}^{2}$	55.19%	16.61%	11.46%	6.08%	2.34%	3.23%	0.66%	0.63%	0.26%	0.07%	0.01%
$σ_{2}^{2}$	55.19%	16.61%	11.46%	6.08%	2.34%	3.23%	0.66%	0.63%	0.26%	0.07%	0.01%
NDMI
$μ$	2.83	5.65	10.56	18.77	33.36	61.82	100.10	175.17	350.33	700.67
$ρ$	0.75**	0.45**	0.36**	0.18**	0.16**	0.13**	0.10**	0.06**	0.05*	0.02	0.01
$σ_{1}^{2}$	57.23%	14.39%	12.15%	6.50%	6.60%	2.96%	2.10%	0.31%	0.44%	0.12%	0.04%
$σ_{2}^{2}$	57.23%	14.39%	12.15%	6.50%	6.60%	2.96%	2.10%	0.31%	0.44%	0.12%	0.04%
NEMI
$μ$	2.81	6.01	12.22	23.62	42.90	84.08	131.38	233.56	350.33	525.50
$ρ$	0.74**	0.47**	0.36**	0.21**	0.19**	0.15**	0.13**	0.06**	0.05*	0.01	0.01
$σ_{1}^{2}$	53.96%	17.40%	11.69%	6.11%	3.22%	2.04%	2.04%	0.84%	0.81%	0.18%	0.05%
$σ_{2}^{2}$	53.96%	17.40%	11.69%	6.11%	3.22%	2.04%	2.04%	0.84%	0.81%	0.18%	0.05%
NEUROPI
$μ$	2.74	5.62	10.72	19.28	36.88	65.69	105.10	191.09	350.33	700.67
$ρ$	0.72**	0.45**	0.35**	0.24**	0.16**	0.12**	0.10**	0.60**	0.03	0.01	0.01
$σ_{1}^{2}$	58.16%	20.48%	12.05%	6.28%	2.79%	1.67%	1.16%	1.01%	0.49%	0.14%	0.07%
$σ_{2}^{2}$	58.16%	20.48%	12.05%	6.28%	2.79%	1.67%	1.16%	1.01%	0.49%	0.14%	0.07%
NEUROZI
$μ$	2.71	5.64	10.95	20.41	39.66	67.81	116.78	191.10	300.29	420.40
$ρ$	0.73**	0.47**	0.37**	0.21**	0.17**	0.13**	0.09**	0.07**	0.05*	0.03	0.02
$σ_{1}^{2}$	55.73%	19.16%	12.88%	4.66%	4.35%	2.29%	1.44%	0.68%	0.16%	0.09%	0.01%
$σ_{2}^{2}$	55.73%	19.16%	12.88%	4.66%	4.35%	2.29%	1.44%	0.68%	0.16%	0.09%	0.01%
NGMCI
$μ$	2.75	5.45	11.12	19.64	38.93	80.85	131.38	262.75	420.40	700.67
$ρ$	0.78**	0.44**	0.37**	0.24**	0.16**	0.12**	0.08**	0.06**	0.03	0.02	−0.01
$σ_{1}^{2}$	57.74%	13.67%	11.77%	6.03%%	3.19%	2.21%	0.70%	0.39%	0.21%	0.01%	0.01%
$σ_{2}^{2}$	57.74%	13.67%	11.77%	6.03%%	3.19%	2.21%	0.70%	0.39%	0.21%	0.01%	0.01%
NGVOLNDX
$μ$	2.94	5.50	10.72	20.61	34.46	56.81	87.58	161.69	262.75	525.50
$ρ$	0.73**	0.41**	0.18**	0.10**	0.06**	0.01	0.01	0.01	0.01	−0.01	0.01
$σ_{1}^{2}$	77.94%	38.55%	14.70%	5.36%	2.90%	2.12%	3.42%	0.63%	0.01%	0.01%	0.01%
$σ_{2}^{2}$	77.94%	38.55%	14.70%	5.36%	2.90%	2.12%	3.42%	0.63%	0.01%	0.01%	0.01%

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

Source(s): Table by authors

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