Skip to main content

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