Table 2.

Descriptive statistics

	Mean	Variance	Skewness	Kurtosis	JB	Q (10)	Q2 (10)	ERS	ADF	PP	KPSS
COM	0.077	2.239	− 0.726***	8.919***	2636.704***	94.905***	530.646***	− 11.657***	− 8.7869***	− 35.1796***	0.1105
REA	0.038	2.895	− 2.090***	26.514***	23,264.898***	99.020***	398.793***	− 10.988***	− 15.5246***	− 32.519***	0.0655
UTI	0.027	2.475	− 0.236***	17.656***	10,073.866***	103.420***	945.947***	− 4.732***	− 8.1807***	− 33.7331***	0.0622
HEA	0.056	1.772	− 0.511***	11.777***	4512.827***	128.122***	725.407***	− 5.457***	− 8.526***	− 34.1142***	0.0575
DIS	0.069	2.359	− 1.238***	13.793***	6341.032***	73.584***	431.677***	− 8.478***	− 8.5542***	− 31.7188***	0.0928
INF	0.096	3.286	− 0.695***	11.424***	4276.450***	126.581***	549.628***	− 4.270***	− 8.676***	− 36.7386***	0.1217
ESG	0.063	2.124	− 1.051***	17.159***	9650.779***	164.354***	718.685***	− 6.078***	− 7.9639***	− 35.7726***	0.1124
IND	0.043	2.847	− 0.750***	11.978***	4705.511***	76.505***	713.674***	− 6.657***	− 9.4191***	− 30.906***	0.1108
STA	0.045	1.379	− 0.357***	16.583***	8896.369***	108.051***	998.549***	− 13.740***	− 8.2517***	− 34.9675***	0.0402
FIN	0.036	3.561	− 0.692***	14.021***	6410.166***	116.678***	757.318***	− 7.234***	− 9.2496***	− 33.6166***	0.1464
ENE	− 0.045	6.491	− 1.003***	14.666***	7075.268***	43.747***	249.320***	− 9.801***	− 8.362***	− 30.2619***	0.1913
MAT	0.042	2.797	− 0.715***	10.449***	3591.624***	89.038***	643.744***	− 5.494***	− 9.9253***	− 31.7831***	0.1697
DLT	0.118	6.79	− 0.721***	6.203***	1242.499***	40.224***	471.795***	− 7.800***	− 13.7952***	− 30.0413***	0.2309