L'identification de facteurs communs de la liquidité sur le marché parisien des actions

This article proposes a new approach to liquidity on financial markets : do not considers liquidity individually, or stock by stock, but takes a common or systematic approach. Common factors in liquidity do exist, and they can cause the liquidity of each stock to vary simultaneously. This point was discussed in a previous article. The aim of the present article is to identify these common factors: which variables have a common impact on every stock in the market simultaneously? The common components of liquidity can have a macro-economic origin (interest or inflation or unemployment rates, etc) or a structural origin (profitability, volumes, etc). The identification of these common liquidity factors is researched through an empirical study on the Parisian and Euronext stock markets. The methodology used is a multiple linear regression of four market liquidity indicators (spread, depth, volume and number of transactions) on the Parisian and Euronext markets by different explanatory variables chosen after the study of pricing models with intuitive reasoning.