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
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 ...