Table 8 Comparison of average daily turnover \(\bar{T}_{G_t}\) and Amihud illiquidity measure \(\textrm{Amihud}_{G_t}\) between core and periphery portfolios.
From: A novel portfolio construction strategy based on the core- periphery profile of stocks
Window | Period | Group | \(\bar{T}_{G_t}\) | \(\textrm{Amihud}_{G_t}\) |
|---|---|---|---|---|
1 | Jan Jun 2014 | Core | 17,79,68,51,536 | 2.52724e-10 |
Periphery | 1,83,61,06,864 | 1.084958e-09 | ||
2 | Jul Dec 2014 | Core | 18,21,79,83,959 | 5.524259e-10 |
Periphery | 7,79,80,02,474 | 1.84037e-09 | ||
3 | Jan Jun 2015 | Core | 14,55,03,97,561 | 1.104547e-10 |
Periphery | 4,87,84,16,901 | 1.794386e-09 | ||
4 | Jul Dec 2015 | Core | 12,77,55,70,515 | 2.336489e-10 |
Periphery | 6,79,83,30,584 | 1.677267e-09 | ||
5 | Jan Jun 2016 | Core | 12,07,01,15,996 | 1.327568e-10 |
Periphery | 6,79,83,30,537 | 8.529164e-10 | ||
6 | Jul Dec 2016 | Core | 17,46,68,54,680 | 4.020773e-11 |
Periphery | 4,33,64,55,388 | 3.661926e-10 | ||
7 | Jan Jun 2017 | Core | 11,20,25,73,763 | 1.455294e-10 |
Periphery | 8,64,50,69,773 | 1.136046e-10 | ||
8 | Jul Dec 2017 | Core | 23,21,67,09,589 | 5.696605e-11 |
Periphery | 8,15,99,85,691 | 3.570979e-10 | ||
9 | Jan Jun 2018 | Core | 12,95,47,20,763 | 2.323509e-10 |
Periphery | 6,19,88,98,276 | 3.861047e-10 | ||
10 | Jul Dec 2018 | Core | 23,94,14,19,640 | 5.841819e-11 |
Periphery | 10,73,43,02,957 | 4.30149e-10 | ||
11 | Jan Jun 2019 | Core | 15,77,10,75,844 | 2.176639e-10 |
Periphery | 6,19,65,24,173 | 5.508058e-10 | ||
12 | Jul Dec 2019 | Core | 64,65,19,28,151 | 1.142693e-10 |
Periphery | 8,26,39,52,561 | 4.514658e-10 | ||
13 | Jan Jun 2020 | Core | 98,19,73,63,764 | 4.91836e-11 |
Periphery | 7,10,74,12,950 | 3.899545e-10 | ||
14 | Jul Dec 2020 | Core | 41,12,80,37,897 | 1.461105e-11 |
Periphery | 17,62,89,17,685 | 1.554023e-10 | ||
15 | Jan Jun 2021 | Core | 61,81,84,36,224 | 1.49754e-11 |
Periphery | 17,10,91,25,139 | 7.70588e-11 | ||
16 | Jul Dec 2021 | Core | 51,27,48,10,897 | 1.625747e-11 |
Periphery | 14,46,61,57,514 | 1.779125e-10 |
