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Table 5 Industries and TSX60 liquidity measure correlations

From: Liquidity and volatility commonality in the Canadian stock market

Materials Cons. Staples Cons. Discret. Energy
Return 0.7422 Return 0.4610 Return 0.6132 Return 0.8330
SPR 0.2767 SPR 0.2877 SPR 0.4740 SPR 0.3653
PSPR 0.1541 PSPR 0.6841 PSPR 0.6931 PSPR 0.7521
DEP 0.9180 DEP 0.2657 DEP 0.3917 DEP 0.7367
ESPR 0.9517 ESPR 0.6052 ESPR 0.9159 ESPR 0.8210
PESPR 0.9877 PESPR 0.8226 PESPR 0.9797 PESPR 0.9554
Finance Telecomm. Industrials Healthcare
Return 0.7811 Return 0.5970 Return 0.6141 Return 0.3604
SPR 0.3167 SPR 0.9365 SPR 0.5421 SPR 0.5333
PSPR 0.6807 PSPR 0.8449 PSPR 0.4809 PSPR 0.5020
DEP 0.6324 DEP 0.6636 DEP 0.5021 DEP 0.0802
ESPR 0.9520 ESPR 0.5898 ESPR 0.0125 ESPR 0.0169
PESPR 0.9893 PESPR 0.9695 PESPR 0.0223 PESPR 0.0123
  1. Average correlations between liquidity measures and returns for stocks in each of the 10 constituent industries in the TSX60. 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. Cons. Staples is Consumer Staples, Cons. Discret. is Consumer Discretionary, and Telecomm. is Telecommuncations