Liquidity and volatility commonality in the Canadian stock market.

Math Ind Case Stud · 2017 · PMC6961474 · PMID 32010414

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a clear trendno p-value reported

We attempted longer lag terms, however the results do not vary, so we omit their presentation. Our calculations display a clear trend of liquidity predicting causing volatility for exchange traded stocks in the TSX60.

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Quoted from the open-access full text in Europe PMC under the licence the publisher applied. The sentence is reproduced exactly as published; the emphasis is ours.