Market Liquidity as Dynamic Factors

Hallin, Marc; Pirotte, Hugues; Mathias, Charles; Veredas, David

doi:10.2139/ssrn.1336223

Cited by 8 publications

(5 citation statements)

References 24 publications

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“…Contudo, o procedimento fatorial utilizado não é adequado para séries temporais e acabou por sugerir o emprego de três fatores para representar a liquidez, o que acaba por prejudicar a redução de dimensões almejada. Hallin et al (2011), comenta que as diferenças de resultados em estudos que busquem combinar medidas de liquidez podem se dar pelas seguintes razões: 1) diferentes bases de dados; 2) diferentes frequências dos dados; 3) medidas de liquidez distintas; e 4) métodos alternativos para extrair a comunalidade na liquidez. Apesar destas limitações, acredita-se que a TSFA é um método propício para este procedimento, devido a sua adequação para o tratamento de séries temporais e a sua simplicidade de análise, a qual se assemelha a analise fatorial tradicional.…”

Section: Tabela 4 -Cargas Fatoriais Cargas Fatoriais Padronizadas E unclassified

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Medindo Liquidez Através da Análise Fatorial de Séries Temporais

2018

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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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Section: Tabela 4 -Cargas Fatoriais Cargas Fatoriais Padronizadas E unclassified

“…As técnicas concorrentes diretas da TSFA são a Análise Fatorial Dinâmica e a análise fatorial tradicional. Hallin et al (2011), emprega a Análise Fatorial Dinâmica para combinar proxys de liquidez ao longo tempo. Contudo, como afirmam Gilbert e Meijer (2005), TSFA possui este nome para distinguir esta técnica da análise fatorial dinâmica.…”

Section: Introductionunclassified

Medindo Liquidez Através da Análise Fatorial de Séries Temporais

2018

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“…2 Another application, of an entirely different nature and scope, is considered in Hallin et al (2011).…”

Section: The Dynamic Factor Model In the Presence Of Blocksmentioning

confidence: 99%

Dynamic factors in the presence of blocks

Hallin

Liška²

2011

Journal of Econometrics

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“…We do not pursue this technique, but a systematic liquidity application is available in Hallin, Mathias, Pirotte and Veredas (2009).…”

Section: Pca With Dynamic Estimation Windowmentioning

confidence: 99%

Dynamics in Systematic Liquidity

Hagströmer¹,

Anderson²,

Binner³

et al. 2009

SSRN Journal

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We develop the principal component analysis (PCA) approach to systematic liquidity measurement by introducing moving and expanding estimation windows. We evaluate these methods along with traditional estimation techniques (full sample PCA and market average) in terms of ability to explain (1) cross-sectional stock liquidity and (2) cross-sectional stock returns. For several traditional liquidity measures our results suggest an expanding window specification for systematic liquidity estimation. However, for price impact liquidity measures we find support for a moving window specification. The market average proxy of systematic liquidity produces the same degree of commonality, but does not have the same ability to explain stock returns as the PCA-based estimates. Abstract We develop the principal component analysis (PCA) approach to systematic liquidity measurement by introducing moving and expanding estimation windows. We evaluate these methods along with traditional estimation techniques (full sample PCA and market average) in terms of ability to explain (1) cross-sectional stock liquidity and (2) crosssectional stock returns. For several traditional liquidity measures our results suggest an expanding window specification for systematic liquidity estimation. However, for price impact liquidity measures we find support for a moving window specification. The market average proxy of systematic liquidity produces the same degree of commonality, but does not have the same ability to explain stock returns as the PCA-based estimates. Keywords

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Market Liquidity as Dynamic Factors

Cited by 8 publications

References 24 publications

Medindo Liquidez Através da Análise Fatorial de Séries Temporais

Medindo Liquidez Através da Análise Fatorial de Séries Temporais

Dynamic factors in the presence of blocks

Dynamics in Systematic Liquidity

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