TY - JOUR AU - Emna, Rouetbi AU - Chokri, Mamoghli PY - 2013/11/16 Y2 - 2024/03/29 TI - Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data JF - International Journal of Economics and Financial Issues JA - IJEFI VL - 4 IS - 1 SE - Articles DO - UR - https://econjournals.com/index.php/ijefi/article/view/611 SP - 40-53 AB - <p>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.</p> <p><strong>Keywords:</strong> Liquidity; intraday value at risk; spread; ACD; Monte Carlo simulation.</p> <p><strong>JEL Classifications:</strong> C41; G17</p> ER -