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

Authors: Abderrazak Elkhaldi; Nada Ben-Mariem

Addresses: Faculty of Economic Sciences and Management of Sousse, University of Sousse, Sousse, 4023, Tunisia ' Higher Institute of Management of Sousse, University of Sousse, Sousse, 4000, Tunisia

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.

DOI: 10.1504/IJESB.2020.104255

International Journal of Entrepreneurship and Small Business, 2020 Vol.39 No.1/2, pp.295 - 310

Received: 20 Feb 2018
Accepted: 28 Sep 2018
Published online: 23 Dec 2019 *

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