EN
Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data
Abstract
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.
Keywords
Details
Primary Language
English
Subjects
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Journal Section
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Publication Date
March 1, 2014
Submission Date
March 1, 2014
Acceptance Date
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Published in Issue
Year 2014 Volume: 4 Number: 1
APA
Emna, R., & Chokri, M. (2014). Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data. International Journal of Economics and Financial Issues, 4(1), 40-53. https://izlik.org/JA63SN79FX
AMA
1.Emna R, Chokri M. Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data. IJEFI. 2014;4(1):40-53. https://izlik.org/JA63SN79FX
Chicago
Emna, Rouetbi, and Mamoghli Chokri. 2014. “Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data”. International Journal of Economics and Financial Issues 4 (1): 40-53. https://izlik.org/JA63SN79FX.
EndNote
Emna R, Chokri M (March 1, 2014) Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data. International Journal of Economics and Financial Issues 4 1 40–53.
IEEE
[1]R. Emna and M. Chokri, “Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data”, IJEFI, vol. 4, no. 1, pp. 40–53, Mar. 2014, [Online]. Available: https://izlik.org/JA63SN79FX
ISNAD
Emna, Rouetbi - Chokri, Mamoghli. “Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data”. International Journal of Economics and Financial Issues 4/1 (March 1, 2014): 40-53. https://izlik.org/JA63SN79FX.
JAMA
1.Emna R, Chokri M. Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data. IJEFI. 2014;4:40–53.
MLA
Emna, Rouetbi, and 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, vol. 4, no. 1, Mar. 2014, pp. 40-53, https://izlik.org/JA63SN79FX.
Vancouver
1.Rouetbi Emna, Mamoghli Chokri. Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data. IJEFI [Internet]. 2014 Mar. 1;4(1):40-53. Available from: https://izlik.org/JA63SN79FX