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Table 1 Liquidity variables: definitions and summary statistics

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
  1. P denotes price and subscripts indicate: t = actual transaction, A = ask, B = bid, M = midpoint. Q denotes the quanity of shares available for trade for each quote and subscripts indicate: A = ask, B = bid. We calculate each measure for the average daily closing transactions (final 30 minutes of trading) during the years 2011–2014 using the 60 stocks in the TSX60 index, corresponding to 996 days of trading observations