Table 2.
Descriptive statistics of adverse selection cost.
| This table provides an overview of the adverse selection cost measure in basis points, which is the liquidity proxy we use in the spillover analysis. | |||||||
|---|---|---|---|---|---|---|---|
|
Panel A: Descriptive statistics on the mean, median (the 50th percentile), maximum (the 99.9th percentile), minimum (the 0.01th percentile), standard deviation (Std), skewness, and kurtosis values1 over the full sample from the 2nd of September 2019 to the 30th of September 2020. | |||||||
| Market | Mean | 50th percentile | 99.9th percentile | 0.01th percentile | Std | Skewness | Kurtosis |
| US | 1.677 | 1.454 | 8.546 | 0.886 | 0.980 | 3.762 | 17.534 |
| UK | 3.196 | 2.869 | 15.433 | 1.518 | 1.216 | 5.226 | 40.986 |
| Germany | 2.153 | 1.978 | 6.026 | 1.080 | 0.654 | 2.428 | 8.985 |
| China | 4.442 | 4.306 | 8.060 | 2.754 | 1.042 | 0.798 | 0.292 |
|
Panel B: Correlation matrix | ||||
|---|---|---|---|---|
| Market | US | UK | Germany | China |
| US | 1.000 | 0.886 | 0.800 | 0.305 |
| UK | 0.886 | 1.000 | 0.802 | 0.253 |
| Germany | 0.800 | 0.802 | 1.000 | 0.288 |
| China | 0.305 | 0.253 | 0.288 | 1.000 |
1We winsorise daily liquidity and volatility measures at the 0.01th and 99.9th percentiles, thus the threshold values represent the minimum and the maximum values of our sample.