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 |