In 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 …

Purpose The purpose of this paper is to study the volatility spillover among 33 worldwide
sovereign Credit Default Swap (CDS) markets and their underlying bond markets. Design/…

This paper examines the effects of automation on the liquidity, volatility, returns and efficiency
of shares traded on the Tunisian stock exchange (TSE). By the end of 1996, stocks listed …

This paper investigates the impact of trading intensity and trading volume on return volatility
using transaction data from the Tunis Stock Exchange. In our study, we find that long trade …

To shed more light on the hedge fund industry, we examine the characteristics and performance
of European hedge funds that invest exclusively in Europe. Our sample of 1,905 hedge …

Purpose – The purpose of this paper is to investigate the informational opacity of Tunisian
banks versus non‐banking firms taking into account information environment changes. Design/…

The concept of asymmetric information plays a crucial role in the market microstructure
theory involving the fact that market participants may have different information. According to …

This paper examines the ability of stock market investors to monitor bank risk for a sample of
listed banks in Tunisia and Morocco over the period 2003-2009. We construct numerous …

This study examines the five-factor model of Fama and French (2015) on the French stock
market by comparing it to the Fama and French (1993)’s base model. The new Fama and …

We propose two approaches to examine whether European hedge fund managers can time
market liquidity. Using a sample of 1616 European hedge funds, we find evidence of liquidity…