%0 Journal Article
%T Microstructure And Market Maker Price Strategies: Study Of A Tunisian Market Maker Activity
%A Saida GTIFA
%J Review of Economic and Business Studies (REBS)
%D 2010
%I Alexandru Ioan Cuza University of Iasi
%X This paper provides evidence on market making behaviour of FX dealer in the Tunisian FX. It uses a complete data set that includes intra-day trades for the euro and US dollar. The sample period is 1 January 2007 to 31 December 2007. The results are consistent with the findings of the literature that used trades and inventories data. I find evidence that customer order flow has information effect on USD/TND. However, I do not find evidence that customer order flow has information effect on EUR/TND. Moreover, inter-dealer order flow has a positive effect on the market maker price strategy. I also find that the central bank intervention has positive and significant effect on dealer¡¯s behaviour and price formation process. My study also suggests that dealer is risk aversion and his quotes flows the references quotes tendency.
%K exchange rate
%K order flow
%K microstructure
%K trading
%U http://www.rebs.ro/articles/pdfs/13.pdf