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Emerging Markets and the Global Economy by Duc Khuong Nguyen, Sabri Boubaker, Mohammed Hedi Arouri

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Chapter 9

Trading Intensity and Informed Trading in the Tunis Stock Exchange

Rabaa Karaaa,b, Skander Slimc and Dorra Mezzez Hmaieda,    aInstitute of Higher Commercial Studies of Carthage, University of Carthage, Tunisia,    bHigher Institute of Transport and Logistics of Sousse, University of Sousse, Tunisia,    cInstitute of High Commercial Studies of Sousse, University of Sousse, Tunisia

Abstract

This chapter investigates the trading intensity on the Tunis Stock Exchange (TSE) and the impact of trading volume and liquidity on the presence of informed trading. We extend De Luca and Gallo’s (2009) model by introducing fixed and time-varying mixing weights in Weibull Log Autoregressive Conditional Duration (LACD) model. Our models are applied ...

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