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Stock Market Liquidity Measurement via the Bid-Ask Spread: Tunis Stockmarket

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  • Hsini Mosbeh
  • Mohamed Nidhal MOSBAHI

Abstract

In this paper, we attempt to explore the nature of the linkage relation of liquidity with market structure. Owing to his function of serving liquidity immediacy, the market maker determines his transacting prices (bid and ask) with all other operators. Accordingly, via his bid-ask spread, he does orient the transaction flow. This study shuts for testing a measure of market liquidity via the bid-ask spread via Stoll Model methodology (1989) on the covariance s' regressions on Tunis stock market over a period stretching from January 2005 until January 2012. The results show that the higher the spread; the less liquid is the market.

Suggested Citation

  • Hsini Mosbeh & Mohamed Nidhal MOSBAHI, 2016. "Stock Market Liquidity Measurement via the Bid-Ask Spread: Tunis Stockmarket," Business and Economic Research, Macrothink Institute, vol. 6(2), pages 65-78, December.
    • Handle: RePEc:mth:ber888:v:6:y:2016:i:2:p:65-78
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Liquidity; Market maker; Bid-ask spread; Stock prices.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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