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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