Liquidity and volatility commonality in the Canadian stock market

Mathematics-in-Industry Case Studies

Table 8 Market wide and industry specific commonality in liquidity

	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

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