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Table 9 Individual liquidity determinants and industry commonality

From: Liquidity and volatility commonality in the Canadian stock market

  SPR PSPR DEP ESPR PESPR
STD 0.151 0.122 -0.056 0.362 0.306
Price 0.094 -0.583 -0.204 0.109 -0.510
Volume -0.168 -0.119 0.483 -0.165 -0.110
Industry 0.470 0.508 0.510 0.485 0.546
  1. Cross-sectional regression of daily individual stock liquidity measures on individual daily returns from the preceeding month (STD), the concurrent day’s mean prices level (Price), the day’s dollar trading volume (Volume), and equally-weighted liquidity measure of all the stocks 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. The cross-sectional regression coefficients are averaged across the 996 trading days