Illiquidity Index

No data file is currently published for this dataset. The methodology is documented in the PDF below. If you need this series, write to nefin@usp.br.

Amihud (2002) illiquidity measure for the Brazilian stock market, at the individual stock and portfolio level. The measure is described in the methodology PDF and is also used to build the IML risk factor and the illiquidity-sorted portfolios.

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Methodology (PDF)

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/