Skip to main content

Advertisement

Table 3 Liquidity measures and correlations between high, medium, and low liquidity stocks and TSX60 equally weighted

From: Liquidity and volatility commonality in the Canadian stock market

Panel A: TD (T) and TSX60 (M) liquidity and return correlations  
  T SPR M SPR T PSPR M PSPR T DEP M DEP T ESPR M ESPR T PESPR M PESPR T Ret M Ret
T SPR 1  
M SPR 0.094 1  
T PSPR 0.749 0.375 1  
M PSPR 0.533 0.665 0.522 1  
T DEP -0.387 0.300 0.146 -0.118 1  
M DEP -0.241 0.069 -0.052 -0.169 0.539 1  
T ESPR 0.295 -0.008 0.135 0.211 -0.137 -0.001 1  
M ESPR 0 0.035 -0.011 0.035 0.005 0.026 0.119 1  
T PESPR 0.275 0.038 0.195 0.232 -0.049 0.035 0.987 0.113 1  
M PESPR 0.011 0.019 -0.007 0.037 -0.005 0.019 0.129 0.986 0.122 1  
T Ret -0.008 -0.076 -0.068 -0.040 -0.004 -0.059 0.034 0.006 0.032 0.005 1  
M Ret -0.060 0.007 -0.084 -0.094 -0.044 -0.095 -0.045 -0.174 -0.046 -0.203 0.377 1
Panel B: Barrick Gold Corp. (A) and TSX60 (M) liquidity and return correlations  
  A SPR M SPR A PSPR M PSPR A DEP M DEP A ESPR M ESPR A PESPR M PESPR A Ret M Ret
A SPR 1  
M SPR 0.265 1  
A PSPR 0.148 0.303 1  
M PSPR 0.636 0.665 -0.297 1  
A DEP -0.351 0.003 0.548 -0.329 1  
M DEP -0.289 0.069 0.380 -0.169 0.626 1  
A ESPR 0.003 0.006 -0.042 0.019 0.004 0.012 1  
M ESPR 0.007 0.035 -0.021 0.035 0.028 0.026 0.950 1  
A PESPR -0.006 0.010 -0.018 0.011 0.020 0.023 0.999 0.950 1  
M PESPR 0.014 0.019 -0.037 0.037 0.012 0.019 0.988 0.986 0.987 1  
A Ret 0.040 0.007 -0.044 0.002 -0.036 -0.039 -0.210 -0.204 -0.212 -0.210 1  
M Ret -0.015 0.007 -0.005 -0.094 -0.031 -0.095 -0.221 -0.174 -0.222 -0.203 0.565 1
  S SPR M SPR S PSPR M PSPR S DEP M DEP S ESPR M ESPR S PESPR M PESPR S Ret M Ret
S SPR 1  
M SPR 0.198 1  
S PSPR 0.961 0.177 1  
M PSPR 0.498 0.665 0.588 1  
S DEP 0.037 -0.150 0.112 0.010 1  
M DEP -0.249 0.069 -0.209 -0.169 -0.009 1  
S ESPR 0.077 0.013 0.079 0.054 0.029 0.006 1  
M ESPR 0.029 0.035 0.027 0.035 -0.015 0.026 0.938 1  
S PESPR 0.079 0.014 0.085 0.063 0.036 0.007 0.999 0.938 1  
M PESPR 0.031 0.019 0.032 0.037 -0.009 0.019 0.976 0.986 0.976 1  
S Ret -0.020 -0.035 -0.041 -0.042 0.027 -0.083 -0.091 -0.092 -0.092 -0.096 1  
M Ret -0.046 0.007 -0.051 -0.094 0.005 -0.095 -0.219 -0.174 -0.219 -0.203 0.313 1
  1. T is TD Bank (high liquidity), A is Barrick Gold Corp. (medium liquidity) and S is Saputo Inc. (medium liqudity). M represents the equally weighted market variables for liquidity measures and returns. 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 Ret is the daily return for each asset. 60 stocks, years 2011–2014