global-journal-of-management-and-business-research-d-accounting-auditing Global Journal of Management and Business Research - D: Accounting & Auditing 0975-5853 2249-4588 Global Journals Publishing Group Incorporated 78561 Measures, Determinants and Commonality in Liquidity: Empirical Tests on Tunisian Stock Market BouchaddekhTarek TUNISIA 15 01 2014 14 D5 55 65

This paper examine empirically variables that can be significantly correlated with inter- temporal changes of measures of the individual’s securities, for example: trading volumes, number of transactions, return, volatility, arrival of new information etc. Before a study of a sample of 40 quoted securities in Tunisian financial market, on the period of February 07, 2011 until January 31, 2013, results appear conclusive. First, as expected, depth has negative correlation with all spread measures. Besides, we observe perfect positive correlations between spread measures. This shows the validity of these liquidity measures on the Tunisian stock market. Furthermore, the results suggest that volume, return and arrival of new information contribute to explain significantly the inter-temporal changes of various measures of the securities liquidity. Finally, we can consider, probably, the arrival of new information as a common factor for the different liquidity measures for all stocks in our sample.

 microstructure price formation inventory costs theory asymmetric information costs theory commonality in liquidity. Full Text

This paper examine empirically variables that can be significantly correlated with inter-temporal changes of measures of the individual’s securities, for example: trading volumes, number of transactions, return, volatility, arrival of new information etc. Before a study of a sample of 40 quoted securities in Tunisian financial market, on the period of February 07, 2011 until January 31, 2013, results appear conclusive. First, as expected, depth has negative correlation with all spread measures. Besides, we observe perfect positive correlations between spread measures. This shows the validity of these liquidity measures on the Tunisian stock market. Furthermore, the results suggest that volume, return and arrival of new information contribute to explain significantly the inter-temporal changes of various measures of the securities liquidity. Finally, we can consider, probably, the arrival of new information as a common factor for the different liquidity measures for all stocks in our sample.