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Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data

Year 2014, Volume: 4 Issue: 1, 40 - 53, 01.03.2014

Rouetbi Emna Mamoghli Chokri

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

Liquidity intraday value at risk spread ACD Monte Carlo simulation.

Year 2014, Volume: 4 Issue: 1, 40 - 53, 01.03.2014

Rouetbi Emna Mamoghli Chokri

Abstract

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Details

Other ID JA78SK73UN
Journal Section Research Article
Authors

Rouetbi Emna This is me

Mamoghli Chokri This is me

Publication Date March 1, 2014
Published in Issue Year 2014 Volume: 4 Issue: 1

Cite

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.
AMA Emna R, Chokri M. Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data. IJEFI. March 2014;4(1):40-53.
Chicago 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 4, no. 1 (March 2014): 40-53.
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 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, 2014.
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 2014), 40-53.
JAMA 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, 2014, pp. 40-53.
Vancouver 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.