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| Tekijä: | Al-Suhaibani, M. Kryzanowski, L. |
| Otsikko: | An exploratory analysis of the order book, and order flow and execution on the Saudi stock market |
| Lehti: | Journal of Banking and Finance
2000 : AUG, VOL. 24:8, p. 1323-1357 |
| Asiasana: | Stock markets Investments Policy Liquidity Middle East Saudi Arabia |
| Vapaa asiasana: | Electronic trading systems |
| Kieli: | eng |
| Tiivistelmä: | The microstructure of the Saudi Stock Market (SSM) under the new computerized trading systems, ESIS, is described, and order and other generated data sets are used to examine the patterns in the order book, the dynamics of order flow, and the probability of executing limit orders. Although the SSM has a distinct structure, its intraday patterns are surprisingly similar to those found in other markets with different structures. It is found that liquidity, as commonly measured by width and depth, is relatively low on the SSM. However, liquidity is exceptionally high when measured by immediacy. |
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