Abstract
This study provides an empirical analysis of several intraday liquidity dynamics for stocks listed on the Amman Stock Exchange (ASE) using transaction data for the period from 1st January, 2005 to 31st August, 2005. We used a cross-market index, which is composed of 37 stocks, to estimate different liquidity proxies. These liquidity proxies are represented graphically to check for intraday commonalities. The analysis demonstrates that volume measures, bid–ask spread, instant trades, and number of large trades exhibit a U-shape, liquidity ratio has a smooth L-shape, while waiting-time-to-trade exhibits an inverse U-shape. The same results are observed for the case of an individual stock. The results reveal that the ASE's highest activity levels are at market open and close, whereas it is least active between 11.20 and 11.35am, suggesting a possible high information asymmetry level at open and intensive large traders' activities at close.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
