A b s t r a c tIn spite of the rapid adoption of electronic limit order markets all over the world, many questions concerning the nature and characteristics of liquidity in automated systems remain unanswered. This paper examines the dynamic behaviour of market liquidity on the Tunisian stock exchange (BVMT) using high frequency data from a reconstructed limit order book. The BVMT is an electronic pure order driven market that relies only on limit orders to supply liquidity, which may affect its viability and its resiliency. First, we apply a VAR model to stocks traded in continuous in order to examine if dynamic interactions exist between liquidity and volatility. Second, we study the resiliency of the BVMT through the impulse response function of the VAR model. Our findings show dynamic relationships between spread, depth and volatility. Some differences exist in the dynamics of liquidity when we take into account the trading intensity of the stock. Furthermore, we note that shocks are absorbed more quickly for frequently traded stocks than for infrequently traded ones.

No abstract

No abstract

This paper analyses the impact of industrial diversification on the profitability of contrarian and momentum strategies. Our findings show that the momentum strategy seems to be no more profitable in the recent years. In fact, while momentum strategies earn large positive and significant returns before the 2000 crash, these returns are negative after the crash. Then, firms are classified into two groups according to the intensity of their industrial diversification by the Ward (1963) method. We find that, for the non-diversified sample, no effect is significant. However, for the diversified sample, the significant contrarian effect observed in the medium term disappears in the long run. Before the crash, we find a more pronounced momentum effect for the non-diversified sample. After the crash, we identify a contrarian effect more important for this sample. Moreover, the Bootstrap without replacement results do not support the risk based explanation. Keywords : corp o rate diversi f i c at i o n, mo m e n t u m , Boo tstra p, cross-sectiona l varia nce of expected retur n, risk

No abstract