par Hallin, Marc 
;Mathias, Charles ;Pirotte, Hugues ;Veredas, David
Référence Journal of econometrics, 163, 1, page (42-50)
Publication Publié, 2011-07
;Mathias, Charles ;Pirotte, Hugues ;Veredas, David Référence Journal of econometrics, 163, 1, page (42-50)
Publication Publié, 2011-07
Article révisé par les pairs
| Résumé : | We use recent results on the Generalized Dynamic Factor Model (GDFM) with block structure to provide a data-driven definition of unobservable market liquidity and to assess the complementarity of two observed liquidity measures: daily close relative spreads and daily traded volumes for a sample of 426 S&P500 constituents recorded over the years 20042006. The advantage of defining market liquidity as a dynamic factor is that, contrary to other definitions, it tackles time dependence and commonness at the same time, without making any restrictive assumptions. Both relative spread and volume in the dataset under study appear to be driven by the same one-dimensional common shocks, which therefore naturally qualify as the unobservable market liquidity shocks. © 2010 Elsevier B.V. All rights reserved. |
