Tunisian Dealer Behaviour in FX Market

Imen Kouki and Mahfuzul Haque
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Imen Kouki: Imen Kouki, Assistant Professor, Finance, Higher Institute of Computer Science and Management, Kairouan, Rue Assad Ibn El Fourat, 3100 Kairouan, Tunisia. E-mail: imen_kouki@yahoo.fr. Tel: 216 98 824 271.
Mahfuzul Haque: Mahfuzul Haque, Associate Professor of Finance, College of Business, Indiana State University, Terre Haute, IN 47809. USA. E-mail: mhaque@isugw.indstate.edu. Tel: 812-237-2090, Fax: 812–237–8129.

Journal of Emerging Market Finance, 2009, vol. 8, issue 3, 265-287

Abstract: This study attempts to model the pricing decision of a Tunisian FX dealer for the Dollar (USD/TND) and the Euro (EUR/TND) based on the daily exchange rates. Using GMM estimation, we find evidence to support for the information and inventory effects for the USD/TND, but not for the EUR/TND. For different types of order, the dealer’s domestic order, interbank order is informative for the USD/TND and also for the foreign interbank orders. Our results indicate that with the inclusion of Central Bank of Tunisia (TCB), intervention seems to be significant only on the dealer’s pricing decision for USD/TND.

Keywords: JEL Classification: F31 foreign exchange; JEL Classification: G10 general; JEL Classification: G15 international financial markets; JEL Classification: G14 information and market efficiency; FX Tunisian dealer; information; inventory; Tunisia central bank; customer order; interbank order (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:8:y:2009:i:3:p:265-287

DOI: 10.1177/097265270900800302

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