Table 2.
Descriptive statistics.
| Quoted spread (bps) | Effective spread (bps) | Realized spread (bps) | Price impact (bps) | |
|---|---|---|---|---|
| Panel A: Index stocks | ||||
| Canada | 5.2 | 2.3 | −0.2 | 2.5 |
| Hong Kong | 14.1 | 6.8 | 3.9 | 4.5 |
| Norway | 9.9 | 4.4 | 7.0 | 0.7 |
| Sweden | 6.7 | 3.3 | 0.4 | 3.2 |
| U.K. | 6.2 | 2.5 | −0.3 | 2.8 |
| Panel B: Non-index stocks | ||||
| Canada | 21.9 | 9.9 | 0.7 | 9.2 |
| Hong Kong | 25.1 | 12.1 | 3.9 | 8.2 |
| Norway | 36.2 | 13.1 | 9.7 | 3.5 |
| Sweden | 26.1 | 12.4 | 3.8 | 8.8 |
| U.K. | 19.0 | 7.1 | 0.4 | 6.8 |
| Panel C: ETFs | ||||
| U.K. | 4.0 | 0.9 | 0.4 | 0.6 |
| U.S. | 0.8 | 0.3 | 0.2 | 0.2 |
The table provides descriptive statistics for our liquidity variables for January 1 to February 15, 2020. Quoted spread is the difference between the best bid and ask, divided by the current midpoint. Effective spread is the difference between the traded price and the current midpoint, relative to the current midpoint. Realized spread and Price impact are calculated using a 10-second delay. The statistics in Panel A are for stocks in the main indices, as listed in Table 1. In Panel B, we describe the stocks we use outside of the main indices. For Hong Kong, we use the constituents of the Hang Seng LargeCap and MidCap indices that are not in the main Hang Seng Index. For the U.K., we use the constituents of the FTSE 250 that are not in the FTSE 100. For the other markets (Canada, Norway, and Sweden), we only include stocks with market capitalization higher than the median company outside of the main index, and with more than 100 daily trades. In Panel C, we provide liquidity measures for the U.S. ETF (SPY), which trades at the NYSE, and the U.K. ETF (CSPX.L), which trades at the LSE. Both ETFs track the S&P 500 Index. We provide the average liquidity variables based on hourly estimates.