Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data
The present paper introduces an enhanced liquidity adjusted intraday value at risk measure named the LIVaR applied to a sample of listed securities in an emerging market; namely the Tunis Stock Exchange (BVMT). Very specific econometric tools were used to perform models that suit the statistical pro...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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EconJournals
2014-03-01
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| Series: | International Journal of Economics and Financial Issues |
| Subjects: | |
| Online Access: | https://dergipark.org.tr/tr/pub/ijefi/issue/31961/351979?publisher=http-www-cag-edu-tr-ilhan-ozturk |
| _version_ | 1797918826065559552 |
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| author | Rouetbi Emna Mamoghli Chokri |
| author_facet | Rouetbi Emna Mamoghli Chokri |
| author_sort | Rouetbi Emna |
| collection | DOAJ |
| description | The present paper introduces an enhanced liquidity adjusted intraday value at risk measure named the LIVaR applied to a sample of listed securities in an emerging market; namely the Tunis Stock Exchange (BVMT). Very specific econometric tools were used to perform models that suit the statistical properties of the data and to obtain a more realistic and efficient measure. This methodology was applied to intraday data. It was found that in the BVMT, the liquidity risk is very high. It represents about 25% of the total cost supported by a day trader for the most active stocks of the considered sample. It can also reach more than 40% for the less liquid ones. These results reveal how thin the Tunis stock market is. |
| first_indexed | 2024-04-10T13:35:39Z |
| format | Article |
| id | doaj.art-6122ff49bec342a5928e3e30ce2db176 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T13:35:39Z |
| publishDate | 2014-03-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-6122ff49bec342a5928e3e30ce2db1762023-02-15T16:11:23ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382014-03-014140531032Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency DataRouetbi EmnaMamoghli ChokriThe present paper introduces an enhanced liquidity adjusted intraday value at risk measure named the LIVaR applied to a sample of listed securities in an emerging market; namely the Tunis Stock Exchange (BVMT). Very specific econometric tools were used to perform models that suit the statistical properties of the data and to obtain a more realistic and efficient measure. This methodology was applied to intraday data. It was found that in the BVMT, the liquidity risk is very high. It represents about 25% of the total cost supported by a day trader for the most active stocks of the considered sample. It can also reach more than 40% for the less liquid ones. These results reveal how thin the Tunis stock market is.https://dergipark.org.tr/tr/pub/ijefi/issue/31961/351979?publisher=http-www-cag-edu-tr-ilhan-ozturkliquidity intraday value at risk spread acd monte carlo simulation. |
| spellingShingle | Rouetbi Emna Mamoghli Chokri Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data International Journal of Economics and Financial Issues liquidity intraday value at risk spread acd monte carlo simulation. |
| title | Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data |
| title_full | Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data |
| title_fullStr | Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data |
| title_full_unstemmed | Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data |
| title_short | Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data |
| title_sort | measuring liquidity risk in an emerging market liquidity adjusted value at risk approach for high frequency data |
| topic | liquidity intraday value at risk spread acd monte carlo simulation. |
| url | https://dergipark.org.tr/tr/pub/ijefi/issue/31961/351979?publisher=http-www-cag-edu-tr-ilhan-ozturk |
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