期刊名称：International Journal of Economics and Financial Issues
电子版ISSN：2146-4138
出版年度：2014
卷号：4
期号：4
页码：920-929
语种：English
出版社：EconJournals
摘要：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. JEL Classifications : C22; C41; G10.
