IDEAS home Printed from https://ideas.repec.org/a/jfr/afr111/v10y2021i3p93.html
   My bibliography  Save this article

Liquidity of Tunisian Stock Market: A Panel Var Estimation

Author

Listed:
  • Wafa Chabeb
  • Adel Boubaker

Abstract

The purpose of this paper is to estimate the functions impulsions-response of liquidity on the Tunisian Stock Exchange (TSE). We will use the methodology proposed by Abrigo and Love (2016). Our study is done on an order-driven market. The data is composed of high frequency data of orders listed on the TSE for the period April 2014 to June 2014. Inspired of the study of Jarnecic and Snape (2014), we apply a panel VAR model to stocks traded in continuous in order to examine the dynamic interactions between spread, volatility, size and frequency of transactions. Then we study the liquidity of the TSE through the impulse response function of the Panel VAR model. Our findings show dynamic relationships between spread, volatility, size and frequency of trading. Some differences exist in the dynamics of liquidity when we take into account the trading intensity of the stock. Furthermore, we note that shocks are absorbed after three gaps of 45minutes.

Suggested Citation

  • Wafa Chabeb & Adel Boubaker, 2021. "Liquidity of Tunisian Stock Market: A Panel Var Estimation," Accounting and Finance Research, Sciedu Press, vol. 10(3), pages 1-93, August.
    • Handle: RePEc:jfr:afr111:v:10:y:2021:i:3:p:93
    as

    Download full text from publisher

    File URL: https://www.sciedupress.com/journal/index.php/afr/article/download/20852/12860
    Download Restriction: no
    File URL: https://www.sciedupress.com/journal/index.php/afr/article/view/20852
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Hee‐Joon Ahn & Kee‐Hong Bae & Kalok Chan, 2001. "Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong," Journal of Finance, American Finance Association, vol. 56(2), pages 767-788, April.
    2. Thierry Foucault & Albert J. Menkveld, 2008. "Competition for Order Flow and Smart Order Routing Systems," Journal of Finance, American Finance Association, vol. 63(1), pages 119-158, February.
    3. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. "An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-1689, December.
    4. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    5. Michael R. M. Abrigo & Inessa Love, 2016. "Estimation of panel vector autoregression in Stata," Stata Journal, StataCorp LP, vol. 16(3), pages 778-804, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. G. Wuyts, 2007. "Stock Market Liquidity.Determinants and Implications," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(2), pages 279-316.
    2. Lin, Boqiang & Okoye, Jude O., 2023. "Towards renewable energy generation and low greenhouse gas emission in high-income countries: Performance of financial development and governance," Renewable Energy, Elsevier, vol. 215(C).
    3. Kazemzadeh, Emad & Fuinhas, José Alberto & Koengkan, Matheus & Shadmehri, Mohammad Taher Ahmadi, 2023. "Relationship between the share of renewable electricity consumption, economic complexity, financial development, and oil prices: A two-step club convergence and PVAR model approach," International Economics, Elsevier, vol. 173(C), pages 260-275.
    4. Beltran, Helena & Durré, Alain & Giot, Pierre, 2009. "Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext," Global Finance Journal, Elsevier, vol. 20(1), pages 80-97.
    5. de Jong, Frank & Nijman, Theo & Roell, Ailsa, 1996. "Price effects of trading and components of the bid-ask spread on the Paris Bourse," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 193-213, June.
    6. Angelo Ranaldo, 2002. "Market Dynamics Around Public Information Arrivals," FAME Research Paper Series rp45, International Center for Financial Asset Management and Engineering.
    7. Erdinc Akyildirim & Shaen Corbet & Guzhan Gulay & Duc Khuong Nguyen & Ahmet Sensoy, 2019. "Order Flow Persistence in Equity Spot and Futures Markets: Evidence from a Dynamic Emerging Market," Working Papers 2019-011, Department of Research, Ipag Business School.
    8. Menkhoff, Lukas & Osler, Carol L. & Schmeling, Maik, 2010. "Limit-order submission strategies under asymmetric information," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2665-2677, November.
    9. Wuyts, Gunther, 2008. "The impact of liquidity shocks through the limit order book," CFS Working Paper Series 2008/53, Center for Financial Studies (CFS).
    10. Dimitrios Karamanis, 2022. "Defence partnerships, military expenditure, investment, and economic growth: an analysis in PESCO countries," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 173, Hellenic Observatory, LSE.
    11. MAÏ ASSAN CHEDI, Maman, 2022. "Does Defence Expenditure Affect Education and Health expenditures in Saharan Africa?," African Journal of Economic Review, African Journal of Economic Review, vol. 10(4), September.
    12. Min-Hsien Chiang & Tsai-Yin Lin & Chih-Hsien Jerry Yu, 2009. "Liquidity Provision of Limit Order Trading in the Futures Market Under Bull and Bear Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(7-8), pages 1007-1038.
    13. Charles Shaaba Saba & Nicholas Ngepah, 2022. "ICT Diffusion, Industrialisation and Economic Growth Nexus: an International Cross-country Analysis," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 13(3), pages 2030-2069, September.
    14. Thierry Foucault & Sophie Moinas & Erik Theissen, 2007. "Does Anonymity Matter in Electronic Limit Order Markets?," Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1707-1747, 2007 28.
    15. Kumeka, Terver Theophilus & Uzoma-Nwosu, Damian Chidozie & David-Wayas, Maria Onyinye, 2022. "The effects of COVID-19 on the interrelationship among oil prices, stock prices and exchange rates in selected oil exporting economies," Resources Policy, Elsevier, vol. 77(C).
    16. Qian, Yu & Xu, Zeshui & Qin, Yong & Gou, Xunjie & Skare, Marinko, 2023. "Measuring the varying relationships between sustainable development and oil booms in different contexts: An empirical study," Resources Policy, Elsevier, vol. 85(PB).
    17. Jain, Pawan & Jiang, Christine, 2014. "Predicting future price volatility: Empirical evidence from an emerging limit order market," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 72-93.
    18. Jie-Haun Lee & Whei-May Fan, 2014. "Investors’ perception of corporate governance: a spillover effect of Taiwan corporate scandals," Review of Quantitative Finance and Accounting, Springer, vol. 43(1), pages 97-119, July.
    19. Chaoshin Chiao & Zi-May Wang & Hsiu-Ling Lai, 2009. "Order submission behaviors and opening price behaviors: evidence from an emerging market," Review of Quantitative Finance and Accounting, Springer, vol. 33(3), pages 253-278, October.
    20. Ningyuan Chen & Steven Kou & Chun Wang, 2018. "A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure," Management Science, INFORMS, vol. 64(2), pages 784-803, February.

    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jfr:afr111:v:10:y:2021:i:3:p:93. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sciedu Press (email available below). General contact details of provider: https://edirc.repec.org/data/cepflch.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.