期刊名称：International Journal of Economics and Finance
印刷版ISSN：1916-971X
电子版ISSN：1916-9728
出版年度：2016
卷号：8
期号：10
页码：48
DOI：10.5539/ijef.v8n10p48
出版社：Canadian Center of Science and Education
摘要：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.
