From: Liquidity and volatility commonality in the Canadian stock market
 | SPR | PSPR | DEP | ESPR | PESPR |
---|---|---|---|---|---|
Panel A: Concurrent market term commonality | Â | ||||
Coeff. mean | 0.371 | 0.685 | 1.226 | 1.641 | 1.523 |
Coeff. st. dev. | 0.289 | 0.547 | 1.207 | 4.440 | 4.141 |
% positive | 98.15 | 100 | 100 | 100 | 100 |
% significant | 94.44 | 94.44 | 98.04 | 26.00 | 28.00 |
Panel B: Concurrent and lagged market term commonality | Â | ||||
Concurrent | Â | Â | Â | Â | Â |
Coeff. mean | 0.406 | 0.736 | 1.225 | 1.641 | 1.523 |
Coeff. st. dev. | 0.322 | 0.598 | 1.203 | 4.440 | 4.141 |
% positive | 98.15 | 100 | 100 | 100 | 100 |
% significant | 94.44 | 94.44 | 98.08 | 26.00 | 28.00 |
Lag | Â | ||||
Coeff. mean | 0.094 | 0.141 | -0.015 | 0.009 | 0.004 |
Coeff. st. dev. | 0.109 | 0.0165 | 0.050 | 0.026 | 0.013 |
% positive | 87.04 | 88.89 | 40.74 | 60.00 | 58.18 |
% significant | 66.67 | 70.37 | 3.70 | 0 | 0 |
Panel C: Concurent, lagged, and lead market term commonality | Â | ||||
Concurrent | Â | ||||
Coeff. mean | 0.424 | 0.767 | 1.232 | 1.641 | 2.136 |
Coeff. st. dev. | 0.334 | 0.623 | 1.216 | 4.441 | 5.868 |
% positive | 98.15 | 100 | 100 | 100 | 100 |
% significant | 94.44 | 94.44 | 98.04 | 26.00 | 28.00 |
Lag | Â | Â | Â | Â | Â |
Coeff. mean | 0.104 | 0.159 | -0.013 | 0.009 | 0.011 |
Coeff. st. dev. | 0.111 | 0.175 | 0.047 | 0.026 | 0.029 |
% positive | 90.74 | 88.89 | 40.74 | 63.63 | 65.45 |
% significant | 68.52 | 72.22 | 3.70 | 0 | 0 |
Lead | Â | Â | Â | Â | Â |
Coeff. mean | 0.041 | 0.071 | 0.072 | 0.009 | 0.009 |
Coeff. st. dev. | 0.068 | 0.0100 | 0.154 | 0.018 | 0.179 |
% positive | 88.33 | 87.04 | 44.44 | 69.09 | 69.09 |
% significant | 18.52 | 35.19 | 27.78 | 0 | 0 |