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Table 8 Market wide and industry specific commonality in liquidity

From: Liquidity and volatility commonality in the Canadian stock market

  SPR PSPR DEP ESPR PESPR
  Market Industry Market Industry Market Industry Market Industry Market Industry
Concurrent  
Coeff. mean 0.119 0.517 0.321 0.628 0.144 0.761 1.445 0.272 1.051 2.196
Coeff. std. dev. 0.116 0.675 0.327 0.662 0.848 0.767 7.190 0.845 7.577 7.045
Lag  
Coeff. mean 0.019 0.093 0.042 0.119 -0.038 0.037 0.205 -0.042 -0.012 0.277
Coeff. std. dev. 0.105 0.163 0.206 0.194 0.096 0.056 1.252 1.015 1.264 1.647
Lead  
Coeff. mean 0.002 0.056 0.009 0.061 0.022 0.021 0.102 -0.0132 -0.002 0.116
Coeff std. dev. 0.034 0.100 0.082 0.141 0.173 0.095 1.020 0.845 1.217 1.376
  1. Time series regression of daily proportional changes of individual stocks liqudity measures on daily proportional changes in equally-weighted average liquidity for all stocks in the TSX60 (Market) and sample stock in the same industry (Industry). 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 and Industry average do not include the dependent stock’s liquidity measures. Concurrent, Lag, and Lead denote, respectively, to the same, previous, and next trading day observations of the market liquidity variables