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Measuring Liquidity in an Emerging Market: The Tunis Stock Exchange

Author

Listed:
  • Emna Rouetbi

    (Institut Sup rieur de Finance et Fiscalit Sousse, Rue 18 janvier Sousse, Tunisia)

  • Chokri Mamoghli

    (Institut des Hautes Etudes Commerciales, 2016 Carthage Presidence Tunisia)

Abstract

In recent years, researches on microstructure have experienced considerable extensions. A major question that still has no precise answer is about measuring liquidity. Several measures were proposed in the literature in order to assess and understand this concept. This diversity of measures emanates from the main feature of liquidity which is multidimensionality. However, measuring liquidity constitutes the starting point for every research in this area. Indeed, the purpose of the present paper is to revisit the most complete measure of the intraday liquidity i.e. VNET and its main properties within an emerging market setting that is the Tunis Stock exchange.

Suggested Citation

  • Emna Rouetbi & Chokri Mamoghli, 2014. "Measuring Liquidity in an Emerging Market: The Tunis Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 4(4), pages 920-929.
    • Handle: RePEc:eco:journ1:2014-04-18
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    References listed on IDEAS

    as
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    Cited by:

    1. Levent C. Uslu & Burak Evre, 2017. "Liquidity Adjusted Value At Risk: Integrating The Uncertainty In Depth And Tightness," Eurasian Journal of Business and Management, Eurasian Publications, vol. 5(1), pages 55-69.

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    More about this item

    Keywords

    Microstructure; liquidity; emerging markets; ACD; EGARCH.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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