
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
 
 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 Ftest statistics for each test direction. %Significant results denotes the percentage of tstatistics 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