Skip to main content

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