## Figure 1.SF.3. Prevalence of Jumps and Liquidity Strain in Advanced and Emerging Markets

## Source details

**Canonical URL:** [Figure 1.SF.3. Prevalence of Jumps and Liquidity Strain in Advanced and Emerging Markets](https://www.imf.org/-/media/files/publications/gfsr/2019/april/english/ch1data/ch1csv/figure1-sf-3.csv)

## Other formats

- [Markdown version](/-/media/files/publications/gfsr/2019/april/english/ch1data/ch1csv/figure1-sf-3.csv.md)
- [Structured JSON version](/-/media/files/publications/gfsr/2019/april/english/ch1data/ch1csv/figure1-sf-3.csv.json)

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### 1. Proportion of Intraday Price Variability Explained by Jumps: EM and AE Average
- Variable: (Percent; 10-day moving average).
- Sample observations:
  - 9/12/2018: AE equities = 9.79; EM equities = 19.81; AE sov. bonds = 13.35; EM sov. bonds = 26.89.
  - 9/13/2018: AE equities = 10.36; EM equities = 21.02; AE sov. bonds = 13.65; EM sov. bonds = 28.81.

### 2. Proportion of Jumps versus Liquidity Strain
- Variable: (Index and percent; September 2018–March 2019; dots and triangles denote individual countries or markets).
- Sample observations (panel-level labels and values):
  - AE equities: Jumps = 8.02; Liquidity strain = 2.17.
  - AE Treasuries: Jumps = 9.28; Liquidity strain = 1.91.

### 3. Average Frequency of Liquidity Strained Days
- Variable: (Number of days per month; September 2018–March 2019; dots denote individual countries or markets).
- Sample observations (number of days per month):
  - AE equities: 1 and 1.33 (sample entries).
  - EM equities: 4 and 4.33 (sample entries).
  - AE sov. bonds: 2 and 1.50 (sample entries).
  - EM sov. bonds: 5 and 7.67 (sample entries).

### 4. Average Frequency of Liquidity Strained Days across Markets
- Variable: (Number of days per week; solid lines denote four-week moving averages).
- Sample date-indexed entries:
  - 9/3/2018: Turnover ratio (z-score) = 0.444; Number of liquidity strained days per week (equities) = 0.800; (additional sample values) 0.444 and -1.000 appear in adjacent columns for related series.
  - 9/10/2018: Turnover ratio (z-score) = 1.111; Number of liquidity strained days per week (equities) = 1.000; (additional sample values) 1.111 and -0.836 appear in adjacent columns for related series.

### 5. Frequency of Liquidity Strain in Equities versus Turnover Ratio
- Variable: (Z-score and number of days per week; September 2018–March 2019).
- Sample observations:
  - 9/3/2018: Turnover ratio (z-score) = 0.444; Number of liquidity strained days per week (equities) = 0.800.
  - 9/10/2018: Turnover ratio (z-score) = 1.111; Number of liquidity strained days per week (equities) = 1.000.
  - Additional sample entries show equities series values of 0.444 and 1.111 paired with negative adjacent series values such as -1.000 and -0.836.

### 6. Frequency of Liquidity Strain in Sovereign Bonds versus a Proxy for the Risk-Off Periods
- Variable: (Index and number of days per week; September 2018–March 2019).
- Sample observations:
  - 9/3/2018: Number of liquidity strained days per week (Treasuries) = 0.400; Risk-off proxy = -0.803.
  - 9/10/2018: Number of liquidity strained days per week (Treasuries) = 0.600; Risk-off proxy = -0.553.

*Source: figure1-sf-3 dataset (CSV) — https://www.imf.org/-/media/files/publications/gfsr/2019/april/english/ch1data/ch1csv/figure1-sf-3.csv*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2019/april/english/ch1data/ch1csv/figure1-sf-3.csv_