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- W1580130097 abstract "Several proxy measures have been proposed in the literature to capture the multidimensional aspects of liquidity. Lower dimensional descriptions of the same can be obtained using factor analysis. The literature contains factor analyses of market-wide averaged liquidity measures and their changes over time. Here we present factor analyses of stock-specific liquidity measures, using cross sectional data, with the aim of identifying key ways in which one stock may be more or less liquid than another. Using data from the National Stock Exchange of India (NSE), for two time periods reflecting different market conditions, we conducted day-wise factor analyses of eleven liquidity proxies for a cross-section of stocks. Five factors emerged consistently, interpretable as depth, spread, volume, price elasticity and relative activity. The first two factors are consistent with Kyle’s suggested attributes of depth, spread and resiliency. While the time dimension of liquidity was not specifically examined here, the last three factors emerging could possibly be predictors of resiliency." @default.
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- W1580130097 date "2009-01-01" @default.
- W1580130097 modified "2023-09-26" @default.
- W1580130097 title "Factors Underlying Stock-Specific Liquidity Proxies Under Different Market Conditions: A Study of Indian Equities" @default.
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- W1580130097 doi "https://doi.org/10.2139/ssrn.1478817" @default.
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