EconPapers    
Economics at your fingertips  
 

Examining Market Quality on the Egyptian Exchange (EGX): An Intraday Liquidity Analysis

Ahmed Rushdy () and Nagwa Samak
Additional contact information
Ahmed Rushdy: Faculty of Economics and Political Sciences, Cairo University, Giza 12613, Egypt
Nagwa Samak: Faculty of Economics and Political Sciences, Cairo University, Giza 12613, Egypt

JRFM, 2025, vol. 18, issue 1, 1-28

Abstract: This study examines the intraday dynamics of liquidity and trading activity on the Egyptian Exchange (EGX) to assess its market quality. Using reconstructed five-minute limit order book data, this study measures liquidity dimensions and explores anomalies through interval-of-day and day-of-week models. Key findings reveal an inverted J-shaped pattern in spreads due to information asymmetry, a U-shaped pattern in total depth, and a J-shaped market depth pattern. Additionally, significant day-of-week effects are observed, with Sundays showing the lowest liquidity and Thursdays the highest trading activity. These patterns highlight the impact of the EGX’s unique microstructure, including tick sizes and a preference for limit orders. This study underscores the influence of market structure on liquidity, trading efficiency, and cost, emphasizing the need for tailored regulatory and trading strategies. It provides valuable insights for investors optimizing trading strategies and policymakers seeking to enhance market integrity. Concluding, this research offers a foundation for understanding intraday liquidity patterns in emerging markets like the EGX and proposes future exploration of how information flows and trading mechanisms affect price discovery and market efficiency.

Keywords: market microstructure; liquidity; intraday patterns; limit order book; spreads; depth; immediacy (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2025
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/1911-8074/18/1/32/pdf (application/pdf)
https://www.mdpi.com/1911-8074/18/1/32/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jjrfmx:v:18:y:2025:i:1:p:32-:d:1567350

Access Statistics for this article

JRFM is currently edited by Ms. Chelthy Cheng

More articles in JRFM from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().

 
Page updated 2025-03-19
Handle: RePEc:gam:jjrfmx:v:18:y:2025:i:1:p:32-:d:1567350