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 |