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Measuring and managing liquidity risk in the Hungarian practice

Szűcs, Balázs Árpád and Váradi, Kata (2014) Measuring and managing liquidity risk in the Hungarian practice. Society and Economy, 36 (4). pp. 543-563. DOI 10.1556/SocEc.36.2014.4.6

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Official URL: http://akademiai.com/content/x5x767164r571v67/


Abstract

The crisis that unfolded in 2007/2008 turned the attention of the financial world toward liquidity, the lack of which caused substantial losses. As a result, the need arose for the traditional financial models to be extended with liquidity. Our goal is to discover how Hungarian market players relate to liquidity. Our results are obtained through a series of semi-structured interviews, and are hoped to be a starting point for extending the existing models in an appropriate way. Our main results show that different investor groups can be identified along their approaches to liquidity, and they rarely use sophisticated models to measure and manage liquidity. We conclude that although market players would have access to complex liquidity measurement and management tools, there is a limited need for these, because the currently available models are unable to use complex liquidity information effectively.

Item Type:Article
Uncontrolled Keywords:market liquidity, portfolio optimization, semi-structured interview
JEL classification:G11 - Portfolio Choice; Investment Decisions
G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Subjects:Finance
Funders:Budapest Stock Exchange, MSCI
DOI:10.1556/SocEc.36.2014.4.6
ID Code:1751
Deposited By: Ádám Hoffmann
Deposited On:27 Nov 2014 14:33
Last Modified:26 Mar 2015 10:54

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