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Research Paper | Financial Engineering | Tunisia | Volume 4 Issue 1, January 2015

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

Tarek Bouchaddekh | Abdelfatteh Bouri

Abstract: This paper examine empirically variables that can be significantly correlated with inter-temporal changes of measures of the individuals 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.

Keywords: Microstructure, price formation, inventory costs theory, asymmetric information costs theory, commonality in liquidity

Edition: Volume 4 Issue 1, January 2015,

Pages: 347 - 355