Related Experiment Video
Updated: Dec 29, 2025

11:33
Laboratory Production of Biofuels and Biochemicals from a Rapeseed Oil through Catalytic Cracking Conversion
Published on: September 2, 2016
14.3K
Liquidity and volatility commonality in the Canadian stock market
Nathan Gold1, Qiming Wang2,3, Melanie Cao4
11Department of Mathematics and Statistics, York University, 4700 Keele St., Toronto, M3J 1P3 Canada.
Summary
Liquidity commonality is evident in the Canadian stock market across various measures and industries. Liquidity changes also predict volatility changes, highlighting interconnectedness in market dynamics.
Area of Science:
- Financial Economics
- Market Microstructure
Background:
- Previous studies indicate liquidity commonality.
- The Canadian stock market context requires further investigation.
Purpose of the Study:
- To examine liquidity commonality in the Canadian stock market.
- To investigate the causal relationship between liquidity and volatility.
Main Methods:
- Analysis of five liquidity measures.
- Econometric modeling to assess commonality and causality.
Main Results:
- Strong evidence of market-wide and industry-specific liquidity commonality.
- Liquidity commonality persists after controlling for price, volume, and volatility.
- Liquidity changes (depth, proportional effective spread) predict volatility changes (bid-ask spread, depth).
Conclusions:
- Liquidity commonality is a significant feature of the Canadian stock market.
- A predictive relationship exists from liquidity to volatility.
Related Concept Videos
Standard Deviation
27.0K
The most commonly used measure of variation is the standard deviation. It is a numerical value measuring how far data values are from their mean. The standard deviation value is small when the data are concentrated close to the mean, exhibiting slight variation or spread. The standard deviation value is never negative, it is either positive or zero. The standard deviation is larger when the data values are more spread out from the mean, which means the data values are exhibiting more variation.
27.0K
Variance
11.8K
The deviations show how spread out the data are about the mean. A positive deviation occurs when the data value exceeds the mean, whereas a negative deviation occurs when the data value is less than the mean. If the deviations are added, the sum is always zero. So one cannot simply add the deviations to get the data spread. By squaring the deviations, the numbers are made positive; thus, their sum will also be positive.
The standard deviation measures the spread in the same units as the data....
The standard deviation measures the spread in the same units as the data....
11.8K
Coefficient of Variation
7.9K
The coefficient of variation measures the dispersion of the data points or distribution around the mean. Using the coefficient of variation, we can compare two data series with drastically different means or different units of measurement. The coefficient of variation for a sample and a population is expressed as a percentage of the ratio of standard deviation to the mean.
The coefficient of variation is a practical statistical tool in finance. It allows investors to assess the volatility or...
The coefficient of variation is a practical statistical tool in finance. It allows investors to assess the volatility or...
7.9K
Equity Theory
201
Equity theory explains how our sense of fairness influences the dynamics of close relationships. Rooted in social psychology, the theory posits that individuals evaluate fairness by comparing the ratio of their contributions to the rewards they receive. Relationship satisfaction is highest when these ratios are perceived as balanced between partners, promoting mutual reciprocity and a sense of justice.Equity vs. Equality in RelationshipsEquity is distinct from equality. Fairness does not...
201
Viscosity
7.0K
When water is poured into a glass, it falls freely and quickly, whereas if honey or maple syrup is poured over a pancake, it flows slowly and sticks to the surface of the container. This difference in the flow of different kinds of liquids arises due to the fluid friction between the liquid layers and the liquid and the surrounding material. This property of fluids is called fluid viscosity. In this example, water has a lower viscosity than honey and maple syrup.
The SI unit of viscosity is...
The SI unit of viscosity is...
7.0K
Variability: Analysis
386
Measures of variability are statistical metrics that reveal the dispersion pattern within a dataset. They are pivotal in biostatistics, providing insights into the heterogeneity within health and biological data. Variability signifies the degree to which data points diverge from one another, helping researchers understand the potential range of values and associated uncertainty within the data.
The range is a simple measure of variability, indicating the difference between the highest and...
The range is a simple measure of variability, indicating the difference between the highest and...
386

