RT Journal Article SR Electronic T1 Liquidity Provision in a Limit-Order Market: The Case of the Tunisian Stock Exchange JF The Journal of Trading FD Institutional Investor Journals SP 57 OP 73 DO 10.3905/jot.2013.8.2.057 VO 8 IS 2 A1 Rouetbi Emna A1 Mamoghli Chokri YR 2013 UL https://pm-research.com/content/8/2/57.abstract AB This article examines the dynamics of buy and sell liquidity provisions in the Tunisian stock exchange (BVMT) and uses high-frequency data from a reconstructed limit-order book. As an order-driven market, the BVMT relies on limit-order submissions to supply liquidity and ensure exchanges. Using an autoregressive conditional duration model, the study focused on the time dimension of the trading process. Applying a parsimonious methodology to the most liquid stocks traded in continuous session, the authors found that renewal frequency of liquidity supply depends on the state of the market, which is characterized by three types of variables: pre-transaction variables. such as spread, depth, limit-order imbalance, and transitory volatility; post-transaction variables, such as realized volatility, traded volume, order satisfaction rate; and pre-opening variables, such as opening volume, opening-closing volatility. The results confirm the microstructure theory predictions: Asymmetric information discourages liquidity provision. Traders consume liquidity when it is abundant and also supply liquidity when an immediate transaction is expensive. However, traders are more attentive to order volatility than to limit-order satisfaction rate.TOPICS: Emerging, exchanges/markets/clearinghouses, statistical methods