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Microstructure du marché des changes interbancaire tunisien : les déterminants de la fourchette des prix

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  • Mamoghli, Chokri

    (École Supérieure des Sciences Économiques et Commerciales-Tunis (ESSEC))

  • Henchiri, Hanène

    (Faculté des Sciences Juridiques, Économiques et de Gestion de Jendouba)

Abstract

This paper deals with the Tunisian foreign exchange market microstructure. The issue is the identification of pricing elements on this market. The GMM is commonly used to identify the components on which the Tunisian market maker focuses to determine his bid-ask spread for the TND/USD and the EUR/USD currency pairs. This study shows out that some of the elements making up the bid-ask spread predicted by the theory are considered by the Tunisian trader when fixing his pricing strategy. Yet, the bid-ask strategy differs from a transaction currency to the other. Cet article s’intéresse à la microstructure du marché des changes interbancaire tunisien. La problématique étant l’identification des déterminants des prix sur ce dernier, la méthode des moments généralisés est utilisée en matière de détermination de la fourchette des prix au moment de la réception d’un ordre, et cela, pour deux couples de devises (EUR/USD et TND/USD). Les résultats montrent que quelques déterminants de la fourchette des prix proposés par la théorie sont pris en compte par le cambiste tunisien dans la fixation de son spread. La stratégie qu’il adopte pour la fixation de ses prix diffère d’une devise à une autre.

Suggested Citation

  • Mamoghli, Chokri & Henchiri, Hanène, 2002. "Microstructure du marché des changes interbancaire tunisien : les déterminants de la fourchette des prix," L'Actualité Economique, Société Canadienne de Science Economique, vol. 78(2), pages 207-220, Juin.
    • Handle: RePEc:ris:actuec:v:78:y:2002:i:2:p:207-220
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    References listed on IDEAS

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    Cited by:

    1. Aziz Chouikh & Abdelwahed Trabelsi, 2014. "The Determinants of Risk Premia in Forward Foreign Exchange (FX) Markets," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(2), pages 19-28, April.

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