Loukil, Nadia; Zayani, Mohamed Bechir; Omri, Abdelwahed - In: Macroeconomics and Finance in Emerging Market Economies 3 (2010) 2, pp. 261-283
This paper investigates the return-liquidity relationship on one Middle East and North Africa frontier market, the Tunisian Stock Exchange (TSE). The findings provide evidence that there is a significant and positive premium for companies with high price impact and low trading frequency....