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International Journal of Economics and Financial Issues

Yıl 2014 , Cilt 4 , Sayı 1

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Başlık :

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

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Yazar kurumları :
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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Özet Türkçe :

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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