The purpose of this paper is to estimate transaction costs on the Tunisian Stock Exchange (TSE). We will use the methodology proposed by Lesmond, Ogden and Trzcinka (1999). Our study is done on an order-driven market whether the Lesmond and al. study was done on a quote-driven market.The data is...

This article attempts to characterize the pattern of information flows between the stock markets by determining mean and variance causal relationships. A two-step procedure proposed by Cheung and Ng (1996) is used. Stock market returns are specified as Autoregressive-Generalized Autoregressive...