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Determinants of Market Liquidity: Evidence from the Jordanian Stock Market

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  • Mohammad Tayeh

Abstract

Empirical work that investigates how market liquidity varies over time for an emerging market is virtually nonexistent. This paper, therefore, provides evidence from the Amman Stock Exchange (thereafter ASE), on the sources of the times-series variation of market liquidity and its time-series behavior, using a comprehensive sample of stocks over a 15-year time span. Concurrent market movements and market trend variables significantly affect daily changes in market liquidity. There is inconclusive evidence of the impact of market volatility on market liquidity. Market liquidity exhibits both weekly and monthly regularities. Liquidity drops on Sunday but there is inconsistency in its pattern on Thursday. The results of spread regressions show that market liquidity is lower in February and December, while the results of trading activity regressions show that market liquidity is lower in January compared with other months.

Suggested Citation

  • Mohammad Tayeh, 2016. "Determinants of Market Liquidity: Evidence from the Jordanian Stock Market," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(10), pages 48-59, October.
    • Handle: RePEc:ibn:ijefaa:v:8:y:2016:i:10:p:48-59
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    References listed on IDEAS

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    Cited by:

    1. Prince Dubois HIKOUATCHA KENFACK, 2018. "determinants of Illiquidity on emerging stock markets:," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 9(2), pages 2-19, December.
    2. Prince Dubois HIKOUATCHA KENFACK, 2018. "the determinants of Illiquidity on emerging stock markets:," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 9(2), pages 2-19, December.
    3. Teplova, Tamara & Sokolova, Tatiana & Kissa, David, 2023. "Revealing stock liquidity determinants by means of explainable AI: The role of ESG before and during the COVID-19 pandemic," Resources Policy, Elsevier, vol. 86(PB).
    4. Teplova, T. & Sokolova, T. & Tomtosov, A. & Buchko, D. & Nikulin, D., 2022. "The sentiment of private investors in explaining the differences in the trade characteristics of the Russian market stocks," Journal of the New Economic Association, New Economic Association, vol. 53(1), pages 53-84.

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    More about this item

    Keywords

    market liquidity; market return; bid-ask spread; trading activity; time-series variation;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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