Measures, Determinants and Commonality in Liquidity: Empirical Tests on Tunisian Stock Market

Measures, Determinants and Commonality in Liquidity: Empirical Tests on Tunisian Stock Market

Tarek Bouchaddekh

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Abdelfatteh Bouri

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Measures, Determinants and Commonality in Liquidity: Empirical Tests on Tunisian Stock Market

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Abstract

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.

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

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Not applicable for this article.

How to Cite This Article

Tarek Bouchaddekh. 2015. \u201cMeasures, Determinants and Commonality in Liquidity: Empirical Tests on Tunisian Stock Market\u201d. Global Journal of Management and Business Research - D: Accounting & Auditing GJMBR-D Volume 14 (GJMBR Volume 14 Issue D5).

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GJMBR Volume 14 Issue D5

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords

asymmetric information costs theory commonality in liquidity inventory costs theory microstructure price formation

Submission ReceivedDecember 13, 2013
Peer Review Double Blind
Handling Editor
Accepted January 1, 2014
Published January 15, 2014

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v1.2

Issue date

February 3, 2015

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Article Matrices

Total Score: 102

Country: Tunisia

Subject: Global Journal of Management and Business Research - D: Accounting & Auditing

Authors: Tarek Bouchaddekh, Abdelfatteh Bouri (PhD/Dr. count: 0)

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Publish Date: 2015 02, Tue

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Total Views: 4212

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