
SPR

PSPR

DEP

ESPR

PESPR


Panel A: Concurrent market term commonality
 
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
 
Concurrent
     
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
     
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
 
Concurrent
     
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
     
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
     
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

 Time series regression of daily proportional changes of individual stocks liqudity measures on daily proportional changes in equallyweighted average liquidity for all stocks in the TSX60. 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. Daily percentage changes represent proportional changes in each liquidity metric across trading days, e.g. for liquidity measure L, the daily change is Δ
L
_{
t
}=(L
_{
t
}−L
_{
t−1})/L
_{
t−1}. For each individual regression, the TSX60 average does not include the dependent stock’s liquidity measures. Panel A denotes the crosssectional averages of the regression only with the concurrent market liquidity measure, Panel B contains the crosssectional average coefficients of the regression with the concurrent market liquidity variable and a lag term, and Panel C contains the crosssectional average of the regression with the concurrent market liquidity variable, and lead and lag market term. Concurrent, Lag, and Lead denote, respectively, to the same, previous, and next trading day observations of the market liquidity variables. %positive denotes the percentage of positive regression coefficients, and %significant denotes the percentage of tstatistics greater than the 5% critical level in a one tailed test (+ 1.645). 60 stocks, years 2011–2014