Table 6.

Alternate test for U.K. and U.S. ETFs.

	Quoted spread	Effective spread	Realized spread	Price impact
$\Delta$Margin	17.61${}^{\mathrm{\ast \ast \ast }}$	7.21${}^{\mathrm{\ast \ast \ast }}$	1.41	5.00${}^{\mathrm{\ast \ast \ast }}$
	(4.71)	(1.96)	(1.42)	(1.32)
$\Delta$Volatility	−2.85	−2.68	32.36${}^{\mathrm{\ast \ast }}$	−34.85${}^{\mathrm{\ast \ast }}$
	(51.31)	(21.38)	(15.47)	(14.40)
$\Delta$Return	−5.31	−4.72	9.85	−13.49
	(31.75)	(13.23)	(9.57)	(8.91)
Constant	3.70${}^{\mathrm{\ast \ast \ast }}$	1.48${}^{\mathrm{\ast \ast \ast }}$	0.07	0.99${}^{\mathrm{\ast \ast \ast }}$
	(0.88)	(0.37)	(0.27)	(0.25)
Observations	34	34	34	34
${\overline{\text{R}}}^2$	0.27	0.27	0.08	0.38

The table reports the relation between the margin differential and the liquidity differential for the CSPX.L (U.K.) and SPY (U.S.), which are ETFs that track the performance of the S&P 500, traded on the LSE and NYSE, respectively. Specifically, we report the results for the following equation:

$\Delta Liquidit{y}_t={\alpha }_0+{\beta }_1\Delta Margi{n}_t+{\beta }_2\Delta Volatilit{y}_t+{\beta }_3\Delta Retur{n}_t+{\varepsilon }_t$,

where $\Delta X_t$ is computed as $X_{U.K.,t}-X_{U.S.,t}$ or the difference between the U.K. and U.S. ETF variables on day $t$. $X_{i,t}$ represents one of the variables defined in Eq. (1) (Quoted spread, Effective spread, Realized spread, Price impact, Volatility and Return) for the U.S. or U.K. ETF, $i$, for day, $t$. $\Delta Margi{n}_t$ represents the difference between the U.K. and U.S. margin proxies. The U.K. margin is proxied using the margin for the FTSE 100 futures trading on the Intercontinental Exchange. The U.S. margin is proxied using the margin for the S&P 500 futures trading on the Chicago Mercantile Exchange. Variables are calculated daily for the period February 11, 2020 to April 11, 2020. ***, **, and * denote statistical significance at the 1%, 5%, and 10% levels, respectively.