Society and Economy
Volume/Issue:
Volume 36: Issue 4
Measuring and managing liquidity risk in the Hungarian practice
Authors:
Balázs Szűcs Corvinus University of Budapest Department of Finance Budapest Hungary

Search for other papers by Balázs Szűcs in
Current site
Google Scholar
PubMed Close
and
Kata Váradi Corvinus University of Budapest Department of Finance Budapest Hungary

Search for other papers by Kata Váradi in
Current site
Google Scholar
PubMed Close
Pages:
543–563
Online Publication Date:
21 Nov 2014
Publication Date:
01 Dec 2014
Article Category:
Research Article
DOI:
https://doi.org/10.1556/socec.36.2014.4.6
Keywords:
market liquidity; portfolio optimization; semi-structured interview
Restricted access

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.

  • Acerbi, C. — Stefek, D. — Szekeres, Z. (2011): Toward Liquidity Metrics. Financial Market Liquidity Conference. Budapest, 10–11 November 2001.

    Szekeres Z. , '', in Financial Market Liquidity Conference. Budapest, 10–11 November 2001 , (2011 ) -.

  • Bangia, A. — Diebold, F. X. — Schuermann, T. — Stroughair, J. D. (1998): Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management. Financial Institutions Center at The Wharton School Working Paper 99-06.

    Stroughair J. D. , '', in Financial Institutions Center at The Wharton School Working Paper 99-06 , (1998 ) -.

  • Bank for International Settlements (1999): Market Liquidity: Research Findings and Selected Policy Implications. Committee on the Global Financial System, Publications No. 11.

    '', in Committee on the Global Financial System , (1999 ) -.

  • Basel Committee (2008): Principles for Sound Liquidity Risk Management and Supervision. Basel: Bank for International Settlement.

    '', in Principles for Sound Liquidity Risk Management and Supervision , (2008 ) -.

  • Berkowitz, J. (2000): Incorporating Liquidity Risk into Value at Risk Models. Working paper, University of California, Irvine.

    Berkowitz J. , '', in Incorporating Liquidity Risk into Value at Risk Models , (2000 ) -.

  • Bouchaud, J.-P. — Farmer, J. D. — Lillo, F. — des Meurisiers, O. (2008): How Markets Slowly Digest Changes in Supply and Demand. In: Hens, T. — Schenk-Hoppe, K. (eds): Handbook of Financial Markets: Dynamics and Evolution. Amsterdam: Elsevier.

    Meurisiers O. , '', in Handbook of Financial Markets: Dynamics and Evolution , (2008 ) -.

  • Brunnermeier, M. K — Pedersen, L. H. (2009): Market Liquidity and Funding Liquidity. The Review of Financial Studies 22(6): 2201–2238.

    Pedersen L. H. , 'Market Liquidity and Funding Liquidity ' (2009 ) 22 The Review of Financial Studies : 2201 -2238 .

    • Search Google Scholar

  • Budapest Stock Exchange (n.d.) Tõzsdei megbízások [Stock exchange orders] http://bet.hu/topmenu/befektetok/tozsde_lepesrol_lepesre/azonnali_piacismeretek/hogyan_kereskedjunk_a_tozsden/tozsdei_megbizasok, accessed 22 July 2014.

    '', in Tõzsdei megbízások , (2014 ) -.

  • Csávás, C. — Erhart, S. (2005): Likvidek–e a magyar pénzügyi piacok? — A deviza- és állampapír-piaci likviditás elméletben és gyakorlatban [Are Hungarian money markets liquid? — The liquidity of the foreign currency and the government security markets in theory and in practice]. MNB Working Paper 44.

    Erhart S. , '', in Likvidek–e a magyar pénzügyi piacok? — A deviza- és állampapír-piaci likviditás elméletben és gyakorlatban , (2005 ) -.

  • Francios-Heude, A. — Van Wynandaeale, P. (2001): Integrating Liquidity Risk in a Parametric Intraday VaR Framework. Working Paper.

    Wynandaeale P. , '', in Integrating Liquidity Risk in a Parametric Intraday VaR Framework , (2001 ) -.

  • Gabaix, X. — Gopikrishnan, P. — Plerou, V. — Stanley, H. E. (2003): A Theory of Power-law Distributions in Financial Market Fluctuations. Nature 423: 267–270.

    Stanley H. E. , 'A Theory of Power-law Distributions in Financial Market Fluctuations ' (2003 ) 423 Nature : 267 -270 .

    • Search Google Scholar

  • Gomber, P. — Shcweikert, U. (2002): The Market Impact — Liquidity Measure in Electronic Securities Trading. Die Bank 7/2002.

    Shcweikert U. , 'The Market Impact — Liquidity Measure in Electronic Securities Trading ' (2002 ) 7 Die Bank : 2002 -.

    • Search Google Scholar

  • Gyarmati, Á. — Michaletzky, M. — Váradi, K. (2010a): Liquidity on the Budapest Stock Exchange 2007–2010. Budapest Stock Exchange Working Paper, http://ssrn.com/abstract=1784324, accessed 22 July 2014.

    Váradi K. , '', in Liquidity on the Budapest Stock Exchange 2007–2010 , (2010 ) -.

  • Gyarmati, Á. — Michaletzky, M. — Váradi, K. (2010b): The Budapest Liquidity Measure and its Application Liquidity Risk in VaR Measures. Budapest Stock Exchange Working Paper, http://ssrn.com/abstract=1784348, accessed 22 July 2014.

    Váradi K. , '', in The Budapest Liquidity Measure and its Application Liquidity Risk in VaR Measures , (2010 ) -.

  • Havran, D. (2010): A vállalati likviditáskezelés [Corporate liquidity management]. Unpublished dissertation, Corvinus University of Budapest.

    Havran D. , '', in A vállalati likviditáskezelés , (2010 ) -.

  • Jarrow, R. — Subrahmanyam, A. (1997): Mopping up Liquidity. Risk 10(12): 170–173.

    Subrahmanyam A. , 'Mopping up Liquidity ' (1997 ) 10 Risk : 170 -173 .

  • Jorion, P. (2007): Value at Risk: The Benchmark of Controlling Market Risk, 3rd ed., McGraw-Hill Publishing Co.

    Jorion P. , '', in Value at Risk: The Benchmark of Controlling Market Risk , (2007 ) -.

  • Kutas, G. — Végh, R. (2005): A Budapesti Likviditási Mérték bevezetésérõl [About the introduction of the Budapest liquidity measure]. Közgazdasági Szemle 52(7–8): 686–711.

    Végh R. , 'A Budapesti Likviditási Mérték bevezetésérõl ' (2005 ) 52 Közgazdasági Szemle : 686 -711 .

    • Search Google Scholar

  • Lawrence, C. — Robinson, G. (1997): Liquidity Measures. Risk 8(7): 52–55.

    Robinson G. , 'Liquidity Measures ' (1997 ) 8 Risk : 52 -55 .

  • Marer, P. (2010): The Global Economic Crisis: Impacts on Eastern Europe. Acta Oeconomica 60(1): 3–33.

    Marer P. , 'The Global Economic Crisis: Impacts on Eastern Europe ' (2010 ) 60 Acta Oeconomica : 3 -33 .

    • Search Google Scholar

  • Monostori, Z. (2013): Crisis on the Hungarian Government Bond Markets in the Winter of 2011–2012: Was There a Liquidity Problem? Society and Economy 35(4): 539–550.

    Monostori Z. , 'Crisis on the Hungarian Government Bond Markets in the Winter of 2011–2012: Was There a Liquidity Problem ' (2013 ) 35 Society and Economy : 539 -550 .

    • Search Google Scholar

  • NYSE (n.d.) NYSE Trading Information. http://www.nyse.com/pdfs/fact_sheet_nyse_orders.pdf, accessed 22 July 2014.

    '', in NYSE Trading Information , (2014 ) -.

  • Radnai, M. — Vonnák, D. (2009): Likviditási kockázat az Európai Tõkemegfelelési Direktíva tervezett módosításában [Liquidity risk in the planned modification of the European Capital Adequacy Directive]. Hitelintézeti Szemle 8: 248–256.

    Vonnák D. , 'Likviditási kockázat az Európai Tõkemegfelelési Direktíva tervezett módosításában ' (2009 ) 8 Hitelintézeti Szemle : 248 -256 .

    • Search Google Scholar

  • Shin, H. S. (2005): Financial System Liquidity, Asset Prices and Monetary Policy. The Changing Nature of Business Cycle Conference, Kirribilli, 11–12 July, 2005.

    Shin H. S. , '', in The Changing Nature of Business Cycle Conference, Kirribilli, 11–12 July, 2005 , (2005 ) -.

  • Váradi, K. (2012): Liquidity Risk on Stock Markets — Statistical Analysis and Possible Application of the Budapest Liquidity Measure. Unpublished dissertation, Corvinus University of Budapest.

    Váradi K. , '', in Liquidity Risk on Stock Markets — Statistical Analysis and Possible Application of the Budapest Liquidity Measure , (2012 ) -.

  • Von Wyss, R. (2004): Measuring and Predicting Liquidity in the Stock Market. Unpublished dissertation, Universität St. Gallen.

    Wyss R. , '', in Measuring and Predicting Liquidity in the Stock Market , (2004 ) -.
  • Collapse
  • Expand
Cover Society and Economy
Society and Economy
Print ISSN:
1588-9726
Online ISSN:
1588-970X

Editor-in-chief: Balázs SZENT-IVÁNYI

Co-Editors:

  • Péter MARTON (Corvinus University, Budapest)
  • István KÓNYA (Corvinus University, Budapest)
  • László SAJTOS (The University of Auckland)
  • Gábor VIRÁG (University of Toronto)

Associate Editors:

  • Tamás BOKOR (Corvinus University, Budapest)
  • Sándor BOZÓKI (Corvinus University Budapest)
  • Bronwyn HOWELL (Victoria University of Wellington)
  • Hintea CALIN (Babeş-Bolyai University)
  • Christian EWERHART (University of Zürich)
  • Clemens PUPPE (Karlsruhe Institute of Technology)
  • Zsolt DARVAS (Bruegel)
  • Szabina FODOR (Corvinus University Budapest)
  • Sándor GALLAI (Corvinus University Budapest)
  • László GULÁCSI (Óbuda University)
  • Dóra GYŐRFFY (Corvinus University Budapest)
  • György HAJNAL (Corvinus University Budapest)
  • Krisztina KOLOS (Corvinus University Budapest)
  • Alexandra KÖVES (Corvinus University Budapest)
  • Lacina LUBOR (Mendel University in Brno)
  • Péter MEDVEGYEV (Corvinus University Budapest)
  • Miroslava RAJČÁNIOVÁ (Slovak University of Agriculture)
  • Ariel MITEV (Corvinus University Budapest)
  • Éva PERPÉK (Corvinus University Budapest)
  • Petrus H. POTGIETER (University of South Africa)
  • Sergei IZMALKOV (MIT Economics)
  • Anita SZŰCS (Corvinus University Budapest)
  • László TRAUTMANN (Corvinus University Budapest)
  • Trenton G. SMITH (University of Otago)
  • György WALTER (Corvinus University Budapest)
  • Zoltán CSEDŐ (Corvinus University Budapest)
  • Zoltán LŐRINCZI (Ministry of Human Capacities)

Society and Economy
Institute: Corvinus University of Budapest
Address: Fővám tér 8. H-1093 Budapest, Hungary
Phone: (36 1) 482 5406
E-mail: balazs.szentivanyi@uni-corvinus.hu

Indexing and Abstracting Services:

  • CABELLS Journalytics
  • DOAJ
  • International Bibliographies IBZ and IBR
  • International Political Science Abstracts
  • JSTOR
  • SCOPUS
  • RePEc
  • Referativnyi Zhurnal

 

2023  
Scopus  
CiteScore 1.5
CiteScore rank Q2 (Sociology and Political Science)
SNIP 0.496
Scimago  
SJR index 0.243
SJR Q rank Q3

Society and Economy
Publication Model Gold Open Access
Submission Fee none
Article Processing Charge 900 EUR/article with enough waivers
Regional discounts on country of the funding agency World Bank Lower-middle-income economies: 50%
World Bank Low-income economies: 100%
Further Discounts Sufficient number of full waiver available. Editorial Board / Advisory Board members: 50%
Corresponding authors, affiliated to an EISZ member institution subscribing to the journal package of Akadémiai Kiadó: 100%
Subscription Information Gold Open Access

Society and Economy
Language English
Size B5
Year of
Foundation		 1972
Volumes
per Year		 1
Issues
per Year		 4
Founder Budapesti Corvinus Egyetem
Founder's
Address		 H-1093 Budapest, Hungary Fővám tér 8.
Publisher Akadémiai Kiadó
Publisher's
Address		 H-1117 Budapest, Hungary 1516 Budapest, PO Box 245.
Responsible
Publisher		 Chief Executive Officer, Akadémiai Kiadó
ISSN 1588-9726 (Print)
ISSN 1588-970X (Online)

Monthly Content Usage

Abstract Views Full Text Views PDF Downloads
Oct 2024 64 0 0
Nov 2024 35 0 0
Dec 2024 20 0 0
Jan 2025 27 0 0
Feb 2025 42 0 0
Mar 2025 14 0 0
Apr 2025 0 0 0