Measuring Liquidity in an Emerging Market: The Tunis Stock Exchange

Emna Rouetbi and Chokri Mamoghli
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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

International Journal of Economics and Financial Issues, 2014, vol. 4, issue 4, 920-929

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.

Keywords: Microstructure; liquidity; emerging markets; ACD; EGARCH. (search for similar items in EconPapers)
JEL-codes: C22 C41 G10 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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