The Intraday Pattern of Trading Activity, Return Volatility and Liquidity: Evidence from the Emerging Tunisian Stock Exchange

Kais Tissaoui

Abstract


The purpose of this paper is to investigate the intraday pattern of trading activity, liquidity and return volatility in the emerging Tunisian Stock Market (TSE) which is an order-driven market using intraday data covering the period October 2008 to June 2009. To achieve this objective, we have applied two methods: the temporal analysis that consists to estimate a dichotomy model for each variable by following the methodological approach of Vo (2007) and the second method is to apply the spectrum analysis by using the Fourier Transform fast (FFT). The results have shown that all identified variables are characterized by notable seasonality justified the rejection of the hypothesis of constancy (H0). Both methods have shown the existence a seasonal pattern in U. The reason considered to justify this intraday behavior is the crucial role played by the problem of adverse selection especially between the two dimensions of liquidity: the spread and depth at the best limit. It should also be noted the effect of inventory management on the optimal allocation of the portfolio.


Full Text: PDF DOI: 10.5539/ijef.v4n5p156

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This work is licensed under a Creative Commons Attribution 3.0 License.

International Journal of Economics and Finance  ISSN  1916-971X (Print) ISSN  1916-9728 (Online)

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