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

Yıl 2014, Cilt: 4 Sayı: 1, 40 - 53, 01.03.2014

Rouetbi Emna Mamoghli Chokri

Öz

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.

Anahtar Kelimeler

Liquidity intraday value at risk spread ACD Monte Carlo simulation.

Yıl 2014, Cilt: 4 Sayı: 1, 40 - 53, 01.03.2014

Rouetbi Emna Mamoghli Chokri

Öz

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Ayrıntılar

Diğer ID JA78SK73UN
Bölüm Araştırma Makalesi
Yazarlar

Rouetbi Emna Bu kişi benim

Mamoghli Chokri Bu kişi benim

Yayımlanma Tarihi 1 Mart 2014
Yayımlandığı Sayı Yıl 2014 Cilt: 4 Sayı: 1

Kaynak Göster

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. Mart 2014;4(1):40-53.
Chicago Emna, Rouetbi, ve 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, sy. 1 (Mart 2014): 40-53.
EndNote Emna R, Chokri M (01 Mart 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 ve M. Chokri, “Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data”, IJEFI, c. 4, sy. 1, ss. 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 (Mart 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 ve 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, c. 4, sy. 1, 2014, ss. 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.