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THE VT INDEX AS AN INDICATOR OF MARKET LIQUIDITY RISK IN SLOVAKIA

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Teplý P., Vrábel M., Černohorská L.
Ekonomický časopis (Journal of Economics)
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2012
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vol. 60
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issue 3
223 – 238
EN
In this paper we construct a new market liquidity index for Slovakia (called the VT index) based on the calculation of using traditional indicators of market depth, resiliency, tightness, volatility and liquidity for four markets (money, foreign exchange, bond and stock market) and back-tested the index for the years 2001 – 2008. The VT index began decreasing in the first half of the year 2008 and continued to fall after Lehman Brothers’ collapse in September 2008. Although market liquidity deteriorated globally, major liquidity problems were avoided by individual financial institutions in Slovakia, due to relatively strong macroeconomic fundamentals of the Slovak economy in the pre-crisis period.
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