Analytical approach in the construction of event studies on narrow markets: Application to the Stock Exchange of Tunis.

Summary The implementation of an event study is confronted with more or less arbitrary methodological choices concerning the period of the study and the sample selected. However, these methodological choices condition the results obtained, leading to significant divergences in the conclusions. A simulation approach, carried out on real data from the Tunis Stock Exchange, allowed us to judge the validity of the different methods to be used and the different tests to be implemented, and then to determine which ones are recommended according to the characteristics of the event to be studied. Our results are specifically adapted to emerging markets, suffering from a lack of liquidity, a lack of transparency ... In application of the results of the recommended methodology, we sought to analyze the impact on the Tunisian stock market, first microstructural and then environmental changes of institutional nature. At the microstructural level, organizational choices have been divided into three distinct categories: market structure, transparency and control of price variation. At the institutional level, we focused our analysis on the legal infrastructure by considering four components: protection for investors outside the firm, securities laws, insider trading, and the accounting framework.