Behind the price fluctuations that capture daily attention, the true risk dynamics on the Tunis Stock Exchange often play out elsewhere.
They lie in the depth of the market and in the distribution of capital. With a market capitalization hovering around 24 to 26 billion dinars in recent years and an annual turnover ratio oscillating between 5% and 8%, the Tunis market remains structurally illiquid compared to other emerging markets where this ratio frequently exceeds 20%.
This reality requires a different reading of the return-risk trade-off. A portfolio can show latent, attractive performance without necessarily offering enough liquidity to secure that performance. In an environment where some stocks register daily volumes below 50 000 dinars, execution capacity becomes a determining factor of actual profitability.
Cost of Illiquidity
Liquidity is not limited to the ability to sell, but to the ability to do so without materially impacting price. Yet on the Tunisian market, the gap between the last quoted price and the actually realizable price can become substantial once order size exceeds the depth of the order book.
Market data show that nearly 60% of listed companies exhibit irregular trading volumes, with prolonged periods of inactivity. In this context, a disposal representing barely a few days of average volume can cause a price adjustment of 2% to 5%, regardless of fundamentals. This phenomenon, often underestimated, constitutes an implicit cost that erodes the portfolio’s actual performance.
Moreover, illiquidity tends to intensify in times of stress. During correction phases, the simultaneous contraction of demand amplifies imbalances, making certain positions practically unsellable in the short term. Liquidity then becomes asymmetric: abundant on the buy side in a rising market, scarce on the sell side when the market turns.
A Structural Concentration of Risk
Meanwhile, the sectoral structure of the market accentuates concentration risk. The banking sector, on its own, often represents between 35% and 45% of total capitalization and captures an even larger share of trading volumes. This dominance gives financial stocks a systemic role in the market’s dynamics.
