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Mathematics-in-Industry Case Studies

Table 4 Absolute daily proportional changes in liquidity variables

From: Liquidity and volatility commonality in the Canadian stock market

 

Mean

Median

Standard deviation

|SPR|

0.142

0.098

0.157

|PSPR|

0.103

0.065

0.127

|DEP|

0.268

0.125

0.862

|ESPR|

0.742

0.658

1.682

|PESPR|

0.728

0.595

1.714

  1. SPR is the quoted spread, PSPR is the proportional spread, DEP is the depth, ESPR is the effective spread, and PESPR is the proportional effective spread. Absolute daily percentage changes represent the proportional change in each liquidity measure across success days, e.g. for liquidity measure L t . 60 stocks, years 2011–2014
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