The Intraday Pattern of Trading Activity, Return Volatility and Liquidity: Evidence from the Emerging Tunisian Stock Exchange

Abstract

The purpose of this paper is to investigate the intraday pattern of trading activity, liquidity and return volatility in the emerging Tunisian Stock Market (TSE) which is an order-driven market using intraday data covering the period October 2008 to June 2009. To achieve this objective, we have applied two methods: the temporal analysis that consists to estimate a dichotomy model for each variable by following the methodological approach of Vo (2007) and the second method is to apply the spectrum analysis by using the Fourier Transform fast (FFT). The results have shown that all identified variables are characterized by notable seasonality justified the rejection of the hypothesis of constancy (H 0 ). Both methods have shown the existence a seasonal pattern in U. The reason considered to justify this intraday behavior is the crucial role played by the problem of adverse selection especially between the two dimensions of liquidity: the spread and depth at the best limit. It should also be noted the effect of inventory management on the optimal allocation of the portfolio.

A Tensor-based eLSTM Model to Predict Stock Price Using Financial News

“…Therefore, during the market open and the market close, the price can reflect the initial expectations of investors. This finding also supports the point of view that the information in the nontransaction time is able to be reflected by the opening and the closing prices [30].…”

Intraday Anomalies and Market Efficiency: A Trading Robot Analysis

“…The possibility of using the U-shaped pattern by market participants to build trading strategies was emphasized by Abhyankar et al (1997). The same pattern was found with respect to trading volume, return volatility and liquidity profile by Tissaoui (2012) in the Tunisian Stock Exchange. Table 1 gives details of additional relevant studies.…”

Options pricing and short‐selling in the underlying: Evidence from India

“…This would ensure that the results remain unaffected by any abnormal behavior of the market around the opening and closing times. The unusual behavior of financial markets during the opening and closing time periods, in terms of abnormal return, volatility, and liquidity, is well documented in the literature (Admati & Pfleiderer, 1988;Harris, 1986Harris, , 1989Tissaoui, 2012;Wood, McInish, & Ord, 1985).…”