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 | Â | |||||
SPR | 1 | Â | Â | Â | Â | Â |
PSPR | 0.589 | 1 | Â | Â | Â | Â |
DEP | -0.062 | -0.113 | 1 | Â | Â | Â |
ESPR | 0.007 | 0.019 | 0.009 | 1 | Â | Â |
PESPR | -0.001 | 0.020 | 0.007 | 0.998 | 1 | Â |
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 | Â | |||||
SPR | 1 | Â | Â | Â | Â | Â |
PSPR | 0.665 | 1 | Â | Â | Â | Â |
DEP | 0.069 | -0.170 | 1 | Â | Â | Â |
ESPR | 0.035 | 0.035 | 0.026 | 1 | Â | Â |
PESPR | 0.019 | 0.037 | 0.019 | 0.986 | 1 | Â |
Return | -0.072 | -0.094 | -0.095 | -0.174 | -0.203 | 1 |
Panel C: Correlation of liquidity measures and returns for TD bank | Â | |||||
SPR | 1 | Â | Â | Â | Â | Â |
PSPR | 0.749 | 1 | Â | Â | Â | Â |
DEP | -0.387 | 0.146 | 1 | Â | Â | Â |
ESPR | 0.295 | 0.134 | -0.137 | 1 | Â | Â |
PESPR | 0.275 | 0.195 | -0.049 | 0.987 | 1 | Â |
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. | Â | |||||
SPR | 1 | Â | ||||
PSPR | -0.148 | 1 | Â | |||
DEP | -.0351 | 0.548 | 1 | Â | ||
ESPR | 0.003 | -0.042 | 0.004 | 1 | Â | |
PESPR | -0.006 | -0.018 | 0.019 | 0.999 | 1 | Â |
Return | 0.040 | -0.044 | -0.036 | -0.210 | -0.212 | 1 |
Panel E: Correlation of liquidity measures and returns for SAP Saputo Foods | Â | |||||
SPR | 1 | Â | ||||
PSPR | 0.961 | 1 | Â | |||
DEP | 0.037 | 0.112 | 1 | Â | ||
ESPR | 0.077 | 0.079 | 0.029 | 1 | Â | |
PESPR | 0.078 | 0.085 | 0.036 | 0.999 | 1 | Â |
Return | -0.019 | -0.041 | 0.027 | -0.091 | -0.092 | 1 |