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Table 2 Liquidity measures and returns correlations

From: Liquidity and volatility commonality in the Canadian stock market

  SPR PSPR DEP ESPR PESPR Return
Panel A: Correlation of liquidity measures and returns for the TSX60 equal  
SPR 1      
PSPR 0.589 1     
DEP -0.062 -0.113 1    
ESPR 0.007 0.019 0.009 1   
PESPR -0.001 0.020 0.007 0.998 1  
Return -0.072 -0.079 -0.088 -0.3196 -0.3253 1
Panel B: Correlation of liquidity measures and returns for the TSX60 market-cap  
SPR 1      
PSPR 0.665 1     
DEP 0.069 -0.170 1    
ESPR 0.035 0.035 0.026 1   
PESPR 0.019 0.037 0.019 0.986 1  
Return -0.072 -0.094 -0.095 -0.174 -0.203 1
Panel C: Correlation of liquidity measures and returns for TD bank  
SPR 1      
PSPR 0.749 1     
DEP -0.387 0.146 1    
ESPR 0.295 0.134 -0.137 1   
PESPR 0.275 0.195 -0.049 0.987 1  
Return -0.008 -0.068 -0.004 0.034 0.032 1
Panel D: Correlation of liquidity measures and returns for ABX Barrick Gold Corp.  
SPR 1  
PSPR -0.148 1  
DEP -.0351 0.548 1  
ESPR 0.003 -0.042 0.004 1  
PESPR -0.006 -0.018 0.019 0.999 1  
Return 0.040 -0.044 -0.036 -0.210 -0.212 1
Panel E: Correlation of liquidity measures and returns for SAP Saputo Foods  
SPR 1  
PSPR 0.961 1  
DEP 0.037 0.112 1  
ESPR 0.077 0.079 0.029 1  
PESPR 0.078 0.085 0.036 0.999 1  
Return -0.019 -0.041 0.027 -0.091 -0.092 1
  1. SPR is the quoted spread, PSPR is the proportional spread, DEP is the depth, ESPR is the effective spread, PESPR is the proportional effective spread, and Return is the daily return for each asset. Panel C, Panel D and Panel E display representative stocks for high, medium, and low liquidity, respectively. 60 stocks, years 2011–2014