Determinants of Market Liquidity: Evidence from the Jordanian Stock Market

Mohammad Tayeh

International Journal of Economics and Finance, 2016, vol. 8, issue 10, 48-59

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.

Keywords: market liquidity; market return; bid-ask spread; trading activity; time-series variation (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:ibn:ijefaa:v:8:y:2016:i:10:p:48-59

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