ARTÍCULO
TITULO

Measuring Liquidity Through Time Series Factor Analysis

Vinicius Girardi da Silveira    
Kelmara Mendes Vieira    
Marcelo Brutti Righi    

Resumen

This study aimed to employ the Times Series Factor Analysis (TSFA) to measure liquidity in stock markets. Based on this model, was used daily data of stocks traded on BM&FBOVESPA of five liquidity proxies for exemplifying the factorial construction. How findings, the study allow us to observe the possibility of combining different liquidity proxies to create a single liquidity measure. The liquidity factor has demonstrated a strong association with the proxies used in their construction. In addition, it has advantages such as the possibility of replication for new datas and a stationary behavior.

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