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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Abstract

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.

Item Type: Article
Research Areas: A. > Business School > Accounting and Finance
Item ID: 1187
Useful Links:
Depositing User: Repository team
Date Deposited: 24 Feb 2009 13:32
Last Modified: 13 Oct 2016 14:12
URI: http://eprints.mdx.ac.uk/id/eprint/1187

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