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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