Table 2 Correlation matrix Ret Vol ISI... | Emerald Publishing

Table 2

Correlation matrix

	Ret	Vol	ISI	VTT	VPT	VNT	MKT	SMB	HML	WML
Vol	−0.0352
ISI	0.1064^**	−0.2255^***
VTT	0.0432	0.1653^***	−0.2726^***
VPT	0.0930^**	0.0747^*	0.1057^**	0.8436^***
VNT	−0.0613	0.3130^***	−0.6698^***	0.7262^***	0.4611^***
MKT	0.9862^***	−0.0267	0.0980^**	0.0504	0.0948^**	−0.0576
SMB	−0.1488^***	−0.1752^***	0.0837^*	−0.0783^*	−0.0334	−0.1094^**	−0.1109^**
HML	0.4257^***	−0.1542^***	0.1516^***	−0.0614	−0.0042	−0.1249^***	0.4128^***	0.3575^***
WML	0.2749^***	−0.1473^***	0.0682	−0.0795^*	−0.0633	−0.1354^***	0.2737^***	0.0613	0.3279^***
IML	−0.2399^***	−0.1465^***	0.0854^*	−0.0527	−0.0289	−0.0974^**	−0.2009^***	0.8975^***	0.3113^***	0.0393

	Ret	Vol	ISI	VTT	VPT	VNT	MKT	SMB	HML	WML
Vol	−0.0352
ISI	0.1064^**	−0.2255^***
VTT	0.0432	0.1653^***	−0.2726^***
VPT	0.0930^**	0.0747^*	0.1057^**	0.8436^***
VNT	−0.0613	0.3130^***	−0.6698^***	0.7262^***	0.4611^***
MKT	0.9862^***	−0.0267	0.0980^**	0.0504	0.0948^**	−0.0576
SMB	−0.1488^***	−0.1752^***	0.0837^*	−0.0783^*	−0.0334	−0.1094^**	−0.1109^**
HML	0.4257^***	−0.1542^***	0.1516^***	−0.0614	−0.0042	−0.1249^***	0.4128^***	0.3575^***
WML	0.2749^***	−0.1473^***	0.0682	−0.0795^*	−0.0633	−0.1354^***	0.2737^***	0.0613	0.3279^***
IML	−0.2399^***	−0.1465^***	0.0854^*	−0.0527	−0.0289	−0.0974^**	−0.2009^***	0.8975^***	0.3113^***	0.0393

Note(s): *** is significant at 1%, ** at 5% and * at 10%