Illiquidity Index

Coverage: 1 Feb 2000 – 1 Sep 2026
Frequency: Monthly
Files: 1

Monthly illiquidity index for the Brazilian stock market: the value-weighted average of stock-level illiquidity, following Acharya and Pedersen (2005). The measure is described in the methodology PDF and is also used to build the IML risk factor and the illiquidity-sorted portfolios.

Download

Illiquidity Index (CSV)
Methodology (PDF)

Read it directly

# Python
import pandas as pd
df = pd.read_csv("https://nefin.com.br/nefindata/illiquidity-index/illiquidity_index.csv")

# R
df <- readr::read_csv("https://nefin.com.br/nefindata/illiquidity-index/illiquidity_index.csv")

How to cite

Please cite the dataset when you use it in published work.

NEFIN (2026). Illiquidity Index.
Center for Research in Financial Economics, University of São Paulo.
https://nefin.com.br/data/illiquidity-index/