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Ownership structure and stock market liquidity: evidence from Tunisia

Author

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  • Rania Hentati

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Jean-Luc Prigent

    (THEMA - Théorie économique, modélisation et applications - CNRS - Centre National de la Recherche Scientifique - CY - CY Cergy Paris Université)

  • Nadia Belkhir Boujelbene
  • Abdelfatteh Bouri
  • Jean Luc Prigent

Abstract

We introduce mixtures of probability distributions to model empirical distributions of financial asset returns. In this framework, we examine the problem of maximizing performance measures. For this purpose, we consider a large class of reward/risk ratios such as the Kappa measures and in particular the Omega ratio. This latter measure is associated to a downside risk measure based on a put component. All these measures can take account of the asymmetry of the probability distribution, which is important when dealing with mixture of distributions. We examine first a fundamental example: the ranking and maximization of Gaussian mixture distributions, according to the Omega performance measure. Then we provide a general result for the maximization of mixture distributions with respect to a very large family of performance measures, including Kappa measures.

Suggested Citation

  • Rania Hentati & Jean-Luc Prigent & Nadia Belkhir Boujelbene & Abdelfatteh Bouri & Jean Luc Prigent, 2011. "Ownership structure and stock market liquidity: evidence from Tunisia," Post-Print hal-03679711, HAL.
    • Handle: RePEc:hal:journl:hal-03679711
    DOI: 10.1504/IJMFA.2011.038365
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    Cited by:

    1. Ngoc Bao Dinh & Van Nguyen Hong Tran, 2024. "Institutional Ownership and Stock Liquidity: Evidence From an Emerging Market," SAGE Open, , vol. 14(1), pages 21582440241, March.
    2. Elisa Giacosa & Alberto Mazzoleni, 2016. "A decision model for the suitable financing for small and medium enterprises," International Journal of Managerial and Financial Accounting, Inderscience Enterprises Ltd, vol. 8(1), pages 39-74.
    3. Elisa Giacosa & Alberto Mazzoleni, 2017. "The Relationships between Companies and Bank System: An Analysis of Italian Context," International Journal of Business and Management, Canadian Center of Science and Education, vol. 12(10), pages 1-1, September.
    4. Manjit Kaur Sidhu & Parmjit Kaur, 2019. "Effect of corporate governance on stock market liquidity: empirical evidence from Indian companies," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 46(3), pages 197-218, September.

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