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Analyse microstructurelle du comportement du teneur de marché des changes : étude intra-journalière de l'activité d'un teneur de marché tunisien

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  • Imen Kouki
  • Hélène Raymond

Abstract

The aim of this paper is to test if the price setting strategy of a Tunisian trader on the foreign exchange market can be adequately described by the microstructural model developed by Madhavan and Smidt (1991) and Lyons (1995). We test for informational and inventory effects. The dataset used involves intraday quotes of a medium size bank on the USDTND and EURTND exchange rates, from the 1st January 2002 to the 27th November 2003. Our results confirm an inventory effect and an informational effect from the transactions with the Central Bank of Tunisia, but only for the USDTND exchange rate. The microstructure approach does not help to explain the EURTND quotes. The management of Tunisia exchange rate regime could offer an explanation for these mitigated results. Our results also show that, despite the financial liberalization politics followed by Tunisia for two decades, the Central Bank of Tunisia interventions still strongly act on both USDTND and EURTND quotes.

Suggested Citation

  • Imen Kouki & Hélène Raymond, 2006. "Analyse microstructurelle du comportement du teneur de marché des changes : étude intra-journalière de l'activité d'un teneur de marché tunisien," EconomiX Working Papers 2006-14, University of Paris Nanterre, EconomiX.
  • Handle: RePEc:drm:wpaper:2006-14
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    1. Bessembinder, Hendrik, 1994. "Bid-ask spreads in the interbank foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 35(3), pages 317-348, June.
    2. Hartmann, Philipp, 1999. "Trading volumes and transaction costs in the foreign exchange market: Evidence from daily dollar-yen spot data," Journal of Banking & Finance, Elsevier, vol. 23(5), pages 801-824, May.
    3. Ederington, Louis H & Lee, Jae Ha, 1993. " How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-1191, September.
    4. Torben G. Anderson & Tim Bollerslev & Ashish Das, 1998. "Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment," NBER Working Papers 6666, National Bureau of Economic Research, Inc.
    5. Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
    6. Gabriele Galati, 2000. "Trading volumes, volatility and spreads in foreign exchange markets: evidence from emerging market countries," BIS Working Papers 93, Bank for International Settlements.
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