The theories of the microstructure en able us to analyze the way an equity market is
working to give us the right directions to be taken and answer the following questions:
According to which criteria can we evaluate the performance of a an exchang
e structure, in
this case, the continuous electronic system? What are its effects on the quality of a young
emerging market in terms of liquidity and informational efficiency? The objective of this
research is the empirical analysis of the role of the continuous electronic exchange system
on an emerging market. This research is elaborated around a microstructural analysis of an
equity market, which are studied in a continuous exchange system driven by orders. We
continue then with an event study applied to the Tunis Stock Exchange in order to check
the effects on the performance of the market of the microstructural changes carried out by
introducing the new continuous system NCS. This event was associated with a short-term
negative market liquidity appreciation at the announcement of the transition to the
electronic system, while the impact was positive in the medium and long term.
