The purpose of this article is to test the existence of the systematic illiquidity component on the Regional Securities Exchange (Bourse Régionale des Valeurs Mobilières). To achieve this goal, we used a time-series analysis of shares listed on the BRVM (2000-2020). The Method of Ordinary Least Square and Generalized Least Square are used to verify the existence of this component. The findings support the conclusion that there exists a systematic component of illiquidity, specifically indicating that market illiquidity concurrently affects the illiquidity of equities.