Measuring liquidity risk in an emerging market: liquidity adjusted value at risk approach for high frequency data

Yazarlar :

Rouetbi EMNA , Mamoghli CHOKRI ,

Authors institutions :

Institut supérieur de finance et fiscalité Sousse, Rue 18 janvier Sousse, Tunisia¹, Institut des Hautes Etudes Commerciales, 2016 Carthage Presidence, Tunisia²

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799

DOI :

Abstract Turkish :

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.

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