Measuring Liquidity in an Emerging Market: The Tunis Stock Exchange

Since our aim is to investigate the high frequency dynamics between trade duration and liquidity, we use two high frequency liquidity measures, the quoted bid-ask spread and the

The analysis in Articles II and III utilize high-frequency limit order book data for 75 actively traded stocks on NASDAQ Nordic around official exchange routed company announcements

There are several different types of securities that can be traded - Stocks : The game trades all stocks listed on the NYSE, AMEX, and NASDAQ Exchanges and executes them with

The analysis shows that when market-level trading activity is particularly great or order flow tends to be one-sided, then activity for individual stocks migrates from the

In each year, we generate the five quantity-based measures of liquidity, as reported in Section 2 above: (i) the number of trades per year for bond i in year y , denoted TradeNo

1 The intraday volume profiles, which include the estimated percentages of the daily volume to be traded in each 15-minute interval of the continuous trading session and at

The model uses discrete historical values of stocks’ trading volumes to measure liquidity through duration, categorizes the companies’ liquidities into five states of

Interestingly, the author documents a turnover pattern in the stock portfolios: stocks with high beta, small market capitalization, high past medium-term return or high