摘要：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.
关键词：Mercado acionário;Liquidez;Análise Fatorial de Séries Temporais
其他关键词：Stock Market;Liquidity;Times Series Factor Analysis
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