Research

Research notes

Original studies on the BRVM, reproducible and geared towards concrete decisions. Each note sets out its data, its method and its limitations.

FORTHCOMING

November 2026

The Epps effect on the BRVM

Correlations between stocks measured day by day are weaker than those measured over longer horizons. We measure this effect on the BRVM and its consequences for portfolio risk measurement.

Correlations Microstructure Risk
Coming soon

FORTHCOMING

November 2026

Liquidity stress test

How many days does it take to exit a position, stock by stock, in normal times and under market stress?

Liquidity Risk
Coming soon

FORTHCOMING

December 2026

One year of T+2 settlement

Has the shorter settlement cycle actually improved market liquidity?

Post-trade Liquidity
Coming soon

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