From: Liquidity and volatility commonality in the Canadian stock market

Panel A: Definitions | |||

Liquidity measure | Acronym | Definition | Units |

Bid-Ask Spread | SPR |
P
_{
A
}−P
_{
B
}
| $ |

Proportional Bid-Ask Spread | PSRP |
(P
_{
A
}−P
_{
B
})/P
_{
M
}
| None |

Depth | DEP | \(\frac {1}{2}(Q_{A} + Q_{B})\) | Shares |

Effective Spread | ESPR |
2|P
_{
t
}−P
_{
M
}|
| $ |

Proportional Effective Spread | PESPR |
2|P
_{
t
}−P
_{
M
}|/P
_{
t
}
| None |

Panel B: Cross-sectional summary statistics for time series means | |||

Mean | Median | Standard deviation | |

SPR | 0.0314 | 0.0294 | 0.00952 |

PSPR | 6.13e-4 | 5.49e-4 | 2.68e-4 |

DEP | 1727630 | 1660309 | 516074 |

ESPR | 0.0390 | 0.0262 | 0.2200 |

PESPR | 8.23e-4 | 5.38e-4 | 4.76e-4 |