Abstract
In this paper, we attempt to explore the nature of the linkage relation of liquidity with market structure. Owing to his function of serving liquidity immediacy, the market maker determines his transacting prices (bid and ask) with all other operators. Accordingly, via his bid-ask spread, he does orient the transaction flow. This study shuts for testing a measure of market liquidity via the bid-ask spread via Stoll Model methodology (1989) on the covariance s’ regressions on Tunis stock market over a period stretching from January 2005 until January 2012. The results show that the higher the spread; the less liquid is the market.
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