Trading patterns and prices in the Tunisian Interbank foreign exchange market: evidence from high frequency data.
Clark, Ephraim A. and Zenaidi, Amel and Hachicha, A. (2006) Trading patterns and prices in the Tunisian Interbank foreign exchange market: evidence from high frequency data. Euro-Mediterranean economics and finance review, 1 (1). pp. 97-115.
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The behaviour of quote arrivals and bid-ask spreads is examined for continuously recorded Tunisian dinar-dollar exchange rate data over time. Patterns in the intraday spread and intensity of market activity are revealed. Quasi-maximum likelihood estimations for the conditional mean and variance of returns and bid-ask spreads indicate volatility clustering at high frequencies. Trading intensity has an independent effect on returns and bid-ask spread volatilities. Conditional returns volatility is increasing in the size of the spread. Overall, the results support the idea that the arrival of new public information drives the positive correlation between volumes and volatility, as postulated by the “Mixture of Distributions Hypothesis”. Favourable evidence is found for the Tunisian interbank foreign exchange market.
|Research Areas:||Middlesex University Schools and Centres > Business School > Accounting and Finance|
|Deposited On:||24 Feb 2009 13:32|
|Last Modified:||10 Dec 2014 20:29|
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