Table 1.
Pre-COVID-19 period liquidity network characteristics.
| Panel A: Descriptive Statistics | ||||||||
|---|---|---|---|---|---|---|---|---|
| Mean | Median | SD | Min | Max | P25 | P75 | ||
| Out | 19.2% | 19.2% | 2.7% | 13.2% | 27.9% | 17.2% | 21.1% | |
| In | 20.8% | 18.6% | 8.8% | 9.5% | 69.9% | 14.5% | 24.3% | |
| In+out | 40.1% | 38.0% | 9.5% | 25.3% | 90.9% | 33.5% | 44.4% |
| Panel B: Network ranking | ||||||||
|---|---|---|---|---|---|---|---|---|
| Industry Groups | In+out | Rank | Out | Rank | In | Rank | %Dif In&Out | Rank |
| Telecommunication Services | 65.2% | 1 | 18.3% | 24 | 46.9% | 1 | −87.7% | 24 |
| Banks | 49.7% | 2 | 18.6% | 22 | 31.1% | 2 | −50.6% | 23 |
| Media & Entertainment | 49.2% | 3 | 18.9% | 21 | 30.3% | 3 | −46.2% | 22 |
| Pharmaceuticals, Biotechnology | 45.6% | 4 | 19.3% | 12 | 26.4% | 4 | −31.1% | 21 |
| Food & Staples Retailing | 45.1% | 5 | 19.1% | 15 | 25.9% | 5 | −30.2% | 20 |
| Household & Personal Products | 44.6% | 6 | 19.6% | 2 | 24.8% | 6 | −23.0% | 19 |
| Semiconductors | 43.8% | 7 | 19.5% | 7 | 24.3% | 7 | −21.6% | 18 |
| Technology Hardware & Equipmen | 42.7% | 8 | 19.5% | 10 | 23.2% | 8 | −17.2% | 16 |
| Software & Services | 42.0% | 9 | 19.1% | 19 | 22.9% | 9 | −18.1% | 17 |
| Consumer Services | 39.5% | 10 | 19.1% | 17 | 20.3% | 10 | −6.1% | 15 |
| Retailing | 39.0% | 11 | 19.2% | 14 | 19.7% | 11 | −2.7% | 14 |
| Food, Beverage & Tobacco | 38.1% | 12 | 19.1% | 16 | 19.0% | 12 | 1.0% | 13 |
| Energy | 37.5% | 13 | 19.6% | 4 | 17.8% | 13 | 9.6% | 11 |
| Capital Goods | 36.9% | 14 | 19.5% | 8 | 17.4% | 15 | 11.8% | 9 |
| Automobiles & Components | 36.9% | 15 | 19.1% | 18 | 17.7% | 14 | 7.7% | 12 |
| Diversified Financials | 36.1% | 16 | 19.0% | 20 | 17.0% | 16 | 10.9% | 10 |
| Health Care Equipment & Servic | 35.5% | 17 | 19.5% | 9 | 15.9% | 17 | 20.3% | 8 |
| Transportation | 34.6% | 18 | 19.8% | 1 | 14.8% | 18 | 28.7% | 7 |
| Materials | 33.7% | 19 | 19.6% | 5 | 14.2% | 19 | 32.1% | 6 |
| Utilities | 33.6% | 20 | 19.6% | 3 | 13.9% | 21 | 33.8% | 3 |
| Insurance | 33.5% | 21 | 19.6% | 6 | 13.9% | 22 | 34.1% | 1 |
| Consumer Durables & Apparel | 33.5% | 22 | 19.4% | 11 | 14.0% | 20 | 32.2% | 5 |
| Real Estate | 33.0% | 23 | 19.3% | 13 | 13.7% | 23 | 33.8% | 2 |
| Commercial & Professional Serv | 31.8% | 24 | 18.5% | 23 | 13.3% | 24 | 33.3% | 4 |
Notes: Panel A presents the summary statistics of linear Granger-causality relationships (at the 5% level of statistical significance) among the weekly liquidity of all the firms included in S&P500 during the estimation period of 08/01/2012 to 29/12/2019. Panel B reports the industry-wise mean and industry-wise ranking of mean values for all the variables during the estimation period. Out, In, and In+Out variables are the average percentage of other industry groups in the system that are significantly Granger-caused by an industry group j, the average percentage of other industry groups in the system that significantly Granger-cause industry group j, and the summation of the two, respectively.%Dif In&Out is the percentage difference between In and Out calculated as. The ranks are assigned in descending order. The table is sorted by rank of In+out. All the measures are winsorised at the 5th and 95th percentile.