From: Liquidity and volatility commonality in the Canadian stock market
Panel A: TD (T) and TSX60 (M) liquidity and return correlations | Â | |||||||||||
 | 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 | Â | ||||||||||
M SPR | 0.094 | 1 | Â | |||||||||
T PSPR | 0.749 | 0.375 | 1 | Â | ||||||||
M PSPR | 0.533 | 0.665 | 0.522 | 1 | Â | |||||||
T DEP | -0.387 | 0.300 | 0.146 | -0.118 | 1 | Â | ||||||
M DEP | -0.241 | 0.069 | -0.052 | -0.169 | 0.539 | 1 | Â | |||||
T ESPR | 0.295 | -0.008 | 0.135 | 0.211 | -0.137 | -0.001 | 1 | Â | ||||
M ESPR | 0 | 0.035 | -0.011 | 0.035 | 0.005 | 0.026 | 0.119 | 1 | Â | |||
T PESPR | 0.275 | 0.038 | 0.195 | 0.232 | -0.049 | 0.035 | 0.987 | 0.113 | 1 | Â | ||
M PESPR | 0.011 | 0.019 | -0.007 | 0.037 | -0.005 | 0.019 | 0.129 | 0.986 | 0.122 | 1 | Â | |
T Ret | -0.008 | -0.076 | -0.068 | -0.040 | -0.004 | -0.059 | 0.034 | 0.006 | 0.032 | 0.005 | 1 | Â |
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 | Â | |||||||||||
 | 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 | Â | ||||||||||
M SPR | 0.265 | 1 | Â | |||||||||
A PSPR | 0.148 | 0.303 | 1 | Â | ||||||||
M PSPR | 0.636 | 0.665 | -0.297 | 1 | Â | |||||||
A DEP | -0.351 | 0.003 | 0.548 | -0.329 | 1 | Â | ||||||
M DEP | -0.289 | 0.069 | 0.380 | -0.169 | 0.626 | 1 | Â | |||||
A ESPR | 0.003 | 0.006 | -0.042 | 0.019 | 0.004 | 0.012 | 1 | Â | ||||
M ESPR | 0.007 | 0.035 | -0.021 | 0.035 | 0.028 | 0.026 | 0.950 | 1 | Â | |||
A PESPR | -0.006 | 0.010 | -0.018 | 0.011 | 0.020 | 0.023 | 0.999 | 0.950 | 1 | Â | ||
M PESPR | 0.014 | 0.019 | -0.037 | 0.037 | 0.012 | 0.019 | 0.988 | 0.986 | 0.987 | 1 | Â | |
A Ret | 0.040 | 0.007 | -0.044 | 0.002 | -0.036 | -0.039 | -0.210 | -0.204 | -0.212 | -0.210 | 1 | Â |
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 | Â | ||||||||||
M SPR | 0.198 | 1 | Â | |||||||||
S PSPR | 0.961 | 0.177 | 1 | Â | ||||||||
M PSPR | 0.498 | 0.665 | 0.588 | 1 | Â | |||||||
S DEP | 0.037 | -0.150 | 0.112 | 0.010 | 1 | Â | ||||||
M DEP | -0.249 | 0.069 | -0.209 | -0.169 | -0.009 | 1 | Â | |||||
S ESPR | 0.077 | 0.013 | 0.079 | 0.054 | 0.029 | 0.006 | 1 | Â | ||||
M ESPR | 0.029 | 0.035 | 0.027 | 0.035 | -0.015 | 0.026 | 0.938 | 1 | Â | |||
S PESPR | 0.079 | 0.014 | 0.085 | 0.063 | 0.036 | 0.007 | 0.999 | 0.938 | 1 | Â | ||
M PESPR | 0.031 | 0.019 | 0.032 | 0.037 | -0.009 | 0.019 | 0.976 | 0.986 | 0.976 | 1 | Â | |
S Ret | -0.020 | -0.035 | -0.041 | -0.042 | 0.027 | -0.083 | -0.091 | -0.092 | -0.092 | -0.096 | 1 | Â |
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 |