Measuring Liquidity Through Time Series Factor Analysis/ Medindo Liquidez Atraves da Analise Fatorial de Series Temporais

• Published in: Revista Brasileira de Financas Vol. 16; no. 1; p. 157
• Main Authors: da Silveira, Vinicius Girardi, Vieira, Kelmara Mendes, Righi, Marcelo Brutti
• Format: Journal Article
• Language: Portuguese
• Published: Sociedade Brasileira de Financas 01.01.2018
• Subjects: Brasil

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 th...