Market microstructure and securities values: empirical evidence from the Tunisian Stock Market

Abderrazak Elkhaldi and Nada Ben-Mariem

International Journal of Entrepreneurship and Small Business, 2020, vol. 39, issue 1/2, 295-310

Abstract: This study proposes to examine the price reaction of a sample of stocks listed on the Tunisian Stock Market following their transfer between continuous trading and fixing trading from January 2005 to January 2017 by analysing the evolution of their cumulative abnormal returns during the period surrounding the transfer event. Our empirical tests yield two important results; first, they contradict the claims on the improvement of returns after the transfer of frequently-traded stocks from fixing to continuous trading. Second, they reveal evidence about the absence of any improvement in returns following the transfer of infrequently-traded stocks from continuous to fixing trading.

Keywords: market microstructure; trading systems; cumulative abnormal returns; CARs. (search for similar items in EconPapers)
Date: 2020
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