Table 3. Correlation matrix of the... | Emerald Publishing

Table 3.

Correlation matrix of the analyzed variables (2010–2019)

Variables	Beta	VaR	Return	ROE	Sharpe	Size
Value at risk	0.352 ***
Return	0.019	0.006
ROE	−0.048 ***	−0.052 ***	0.056 ***
Sharpe	−0.072 ***	−0.008	0.217 ***	0.124 ***
Size	0.132 ***	−0.385 ***	0.039 ***	0.003	0.078 ***
Leverage	0.053 ***	0.235 ***	−0.022 *	−0.015	−0.102 ***	−0.179 ***

Variables	Beta	VaR	Return	ROE	Sharpe	Size
Value at risk	0.352 ***
Return	0.019	0.006
ROE	−0.048 ***	−0.052 ***	0.056 ***
Sharpe	−0.072 ***	−0.008	0.217 ***	0.124 ***
Size	0.132 ***	−0.385 ***	0.039 ***	0.003	0.078 ***
Leverage	0.053 ***	0.235 ***	−0.022 *	−0.015	−0.102 ***	−0.179 ***

Note:

*** represents significance at the 10% level, ** at the 5% level, and *** at the 1% level