From: Liquidity and volatility commonality in the Canadian stock market
 | SPR | PSPR | DEP | ESPR | PESPR |
---|---|---|---|---|---|
Panel A: Concurrent market term commonality | Â | ||||
Coeff. mean | 0.192 | 0.49 | 1.214 | 2.989 | 3.161 |
Coeff. st. dev. | 0.145 | 0.374 | 1.236 | 8.020 | 8.597 |
% positive | 98.15 | 100 | 100 | 98.18 | 98.18 |
% significant | 94.44 | 96.30 | 98.08 | 28.85 | 30.00 |
Panel B: Concurrent and lagged market term commonality | Â | ||||
Concurrent | Â | Â | Â | Â | Â |
Coeff. mean | 0.215 | 0.542 | 1.213 | 2.989 | 3.161 |
Coeff. st. dev. | 0.162 | 0.421 | 1.232 | 8.021 | 8.597 |
% positive | 98.15 | 100 | 100 | 100 | 98.18 |
% significant | 94.44 | 96.30 | 98.08 | 28.85 | 30.00 |
Lag | Â | Â | Â | Â | Â |
Coeff. mean | 0.061 | 0.128 | -0.017 | 0.043 | 0.021 |
Coeff. st. dev. | 0.079 | 0.0154 | 0.054 | 0.110 | 0.057 |
% positive | 88.89 | 90.74 | 38.89 | 70.91 | 50.91 |
% significant | 50.00 | 74.07 | 5.55 | 0 | 0 |
Panel C: Concurrent, lagged, and lead market term commonality | Â | ||||
Concurrent | Â | Â | Â | Â | Â |
Coeff. mean | 0.226 | 0.575 | 1.220 | 2.989 | 3.161 |
Coeff. st. dev. | 0.169 | 0.443 | 1.246 | 8.022 | 8.597 |
% positive | 98.15 | 100 | 100 | 98.18 | 96.36 |
% significant | 94.44 | 94.44 | 98.08 | 28.85 | 28.00 |
Lag | Â | Â | Â | Â | Â |
Coeff. mean | 0.067 | 0.145 | -0.014 | 0.043 | 0.021 |
Coeff. st. dev. | 0.073 | 0.016 | 0.050 | 0.109 | 0.057 |
% positive | 88.89 | 92.59 | 38.89 | 70.91 | 50.91 |
% significant | 51.85 | 77.78 | 5.55 | 0 | 0 |
Lead | Â | Â | Â | Â | Â |
Coeff. mean | 0.023 | 0.068 | 0.072 | 0.026 | 0.012 |
Coeff. st. dev. | 0.007 | 0.089 | 0.159 | 0.055 | 0.028 |
% positive | 72.22 | 85.18 | 44.44 | 70.91 | 63.64 |
% significant | 3.73 | 31.48 | 24.07 | 1.82 | 0 |