The figure is divided into three horizontal labels. At the top level, two connected text boxes are labeled “Overall index” and “Market liquidity index”. At the second level, a text box labeled “Building groups (G Liq)” appears on the left. To its right, four grouped text boxes are labeled “Bid-Ask”, “Roll”, “Amihud”, and “Volume”. At the third level, a large text box on the left reads “Indicators market level (Sum Liq) and stock level (Liq)”. To the right, nine horizontally arranged text boxes are displayed and labeled : “Sum Liq 1 Liq 1”, “Sum Liq 2 Liq 2”, “Sum Liq 3 Liq 3”, “Sum Liq 4 Liq 4”, “Sum Liq 5 Liq 5”, “Sum Liq 6 Liq 6”, “Sum Liq 7 Liq 7”, “Sum Liq 8 Liq 8”, and “Sum Liq 9 Liq 9” respectively.Structure for the construction of the market multidimensional liquidity index. Note(s): The nine liquidity measures are classified into four dimensions reflecting core aspects of market liquidity. Measures Liq1 to Liq3 follow the methodologies of Korajczyk and Sadka (2008) and Corwin and Schultz (2012). Liq4 and Liq5 are derived from Roll (1984), Harris (1990), and Goyenko et al. (2009). Liq6 to Liq8 are based on the frameworks of Amihud (2002) and Goyenko et al. (2009), while Liq9 is constructed according to Datar et al. (1998). The index is built in five steps: computing stock-level liquidity measures, aggregating to market-level using capitalization weights, applying cumulative distribution normalization, grouping into four liquidity dimensions, and extracting the composite index via principal component analysis. Source: Estimated by authors