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Table 10 Granger Causality between liquidity measures (Liq.) and volatility (Vol.) Granger causality regression between liquidity measures for individual stocks and the volatility of their asset prices with a one day lagged term for the constituent stocks of the TSX60

From: Liquidity and volatility commonality in the Canadian stock market

 

Vol. −> Liq.

Liq. −> Vol.

% Significant results

SPR

11

37

80.00

% of significant

22.92

77.1

 

PSPR

7

28

58.33

% of significant

20

80

 

DEP

11

22

55.00

% of significant

33.33

66.67

 

ESPR

26

24

83.33

% of significant

52

48

 

PESPR

15

24

65.00

% of significant

38.46

61.54

 
  1. We test if liquidity Granger causes volatility (Liq. → Vol.) or if volatility Granger causes liquidity (Vol. → Liq.). We report the total number of significant extreme F-test statistics for each test direction. %-Significant results denotes the percentage of t-statistics greater than the 5% critical level in a one tailed test (+ 1.645). SPR is the quoted spread, PSPR is the proportional spread, DEP is the depth, ESPR is the effective spread, and PESPR is the proportional effective spread