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

Baillie, R. et T. Bollerslev (1989), « The Message in Daily Exchange Rates: A Conditional Variance Tale », Journal of Business and Economic Statistics, 7 : 297-305.

Baillie, R. et T. Bollerslev (1991), « Intraday and Intermarket Volatility in Foreign Exchange Rates », Review of Economic Studies, 58 : 565-585. DOI:10.2307/2298012

Bessembinder, H. (1994), « Bid-Ask Spread in the Interbank Foreign Exchange Markets », Journal of Financial Economics, 35 : 317-348. DOI:10.1016/0304-405X(94)90036-1

Bollerslev, T. et M. Melvin (1994), « Bid-Ask Spreads and Volatility in the Foreign Exchange Market: An Empirical Analysis », Journal of International Economics, 36 : 355-372. DOI:10.1016/0022-1996(94)90008-6

Boothe, P. (1987), « Exchange Rate Risk and the Bid Ask Spread: A Seven Country Comparison », Economic inquiry : 485-492.

Bossaerts, P. et P. Hillion (1991), « Market Microstructure Effects of Government Intervention in the Foreign Exchange Market », The Review of Financial Studies, 4 : 513-541. DOI:10.1093/rfs/4.3.513

Easley, D. et M. O’Hara (1992), « Adverse Selection and Large Trade Volume: The Implications for Market Efficiency », Journal of Financial and Quantitative Analysis, 27 : 185-208. DOI:10.2307/2331367

George, T.J., G. Kaul et M. Nimalendran (1991), « Estimation of the Bid-Ask Spread and its Components: A New Approach », The Review of Financial Studies, 4 : 623-656. DOI:10.1093/rfs/4.4.623

Garman, M. (1976), « Market Microstructure », Journal of Financial Economics, 3 : 257-275. DOI:10.1016/0304-405X(76)90006-4

Glassman, D. (1987), « Exchange Rate Risk and Transaction Costs: Evidence from Bid-Ask Spreads », Journal of International Money and Finance, 6 : 479-490. DOI:10.1016/0261-5606(87)90024-6

Glosten, L. R. (1987), « Components of the Bid-Ask Spread and the Statistical Properties of Transaction Prices », Journal of Finance, 42 : 1 293-1 308.

Hasbrouck, J. (1991a), « Measuring the Information Content of Stock Trades », Journal of Finance, 46 : 179-207.

Hasbrouck, J. (1991b), « The Summary of Informativeness of Stock Trades », Review of Financial Studies, 4 : 571-594. DOI:10.1093/rfs/4.3.571

Hasbrouck, J. (1999), « Security Bid/Ask Dynamics with Discretness and Clustering: Simple Strategies for Modeling and Estimation », Journal of Financial Markets, 2 : 1-28. DOI:10.1016/S1386-4181(98)00008-1

Hseih, A. et W. Kleidon (1992), « Bid-Ask Spreads in Foreign Exchange Markets: Implications for Models of Asymetric Information », inFrankel, J.A., G. Galie et A. Giovanini (éds), The Microstructure of Foreign Exchange Markets, Chicago.

Ho, T. et H. Stoll (1983), « The Dynamics of Dealer Markets Under Competition », Journal of Finance, 38, 1 053-1 074.

Huang, R.D. et R.W. Masulis (1998), « FX Spreads and Dealer Competition across the 24 Hour Trading Day », Working Paper, Vanderbilt University.

Madhavan, A. et S. Smidt (1991), « A Bayesian Model of Intraday Specialist », Journal of Financial Economics, 30, 99-134.