Open AccessMedindo Liquidez Através da Análise Fatorial de Séries Temporais
Author(s) -
Vicente Celestino Pires Silveira,
Kelmara Mendes Vieira,
Marcelo Brutti Righi
Publication year - 2018
Publication title -
revista brasileira de finanças
Language(s) - English
Resource type - Journals
eISSN - 1984-5146
pISSN - 1679-0731
DOI - 10.12660/rbfin.v16n1.2018.61802
Subject(s) - chemistry , physics
This study aimed to employ the Times Series Factor Analysis (TSFA) tomeasure liquidity in stock markets. Based on this model, was used daily dataof stocks traded on BM&FBOVESPA of five liquidity proxies forexemplifying the factorial construction. How findings, the study allow us toobserve the possibility of combining different liquidity proxies to create asingle liquidity measure. The liquidity factor has demonstrated a strongassociation with the proxies used in their construction. In addition, it hasadvantages such as the possibility of replication for new datas and astationary behavior.