There is no single, definitive and universally accepted measure of a stock’s ‘liquidity’. The literature proposes a large number of proxy measures for liquidity. Suitable low dimensional characterisation of liquidity may improve understanding and enable better market regulation. We present factor analyses of stock-specific liquidity measures, using cross-sectional data from the National Stock Exchange of India, for two time periods reflecting different market conditions. Day-wise analyses of eleven liquidity proxies suggest five factors, interpretable as spread, depth, volume, price elasticity and relative activity. Consistency in the results obtained from the two periods suggests that the factor structure is stable.
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