Estimation of Transaction Costs on the Tunisian Stock Exchange : an Empirical Research Via a Tobit Model With Frictions

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 composed of stocks listed on the TSE for the period 2000-2004. We estimate the spread using the Roll (1984), George, Kaul and Nimalendran (1991) methods and compare these estimations with the results obtained by the Lesmond and al. model. The George and al. model over-estimate the spread. Lesmond and al. model seems to be the appropriate estimation of the transaction costs on the TSE