Purpose: This paper is conducted to investigate the response of market liquidity, market volatility and exchange rate volatility to stock market crises shocks. Methodology: First, the CMAX approach is used to detect stock market crises. Then, the Vector Auto Regression (VAR) approach is applyed to study the transmission effect of stock market crises shocks on market liquidity, market volatility and exchange rate volatility. Results: According to the empirical study based on evidence from Tunisia, we obtain the following results: The impulse response analysis underlines that there is a deterioration in market liquidity and market volatility in the months after the occurrence of stock market crises. In contrast, the response of EUR/TND exchange rate volatility to stock market crises shocks is not significant during the whole period. In addition, the variance decomposition results highlight that market liquidity and Tunindex index volatility are more sensitive to stock market crises shocks. However, stock market crises shocks explain a smaller portion of the EUR/TND exchange rate volatility. Unique contribution to theory, policy and practice: This research contributes to this debate by investigating the impact of stock market crises shocks on liquidity market, volatility of stock returns and exchange rate volatility. A better understanding of these topics has become the key to investors, academics and policymakers.