scholarly journals The pattern of intraday liquidity in emerging markets: The case of the Amman Stock Exchange

2008 ◽  
Vol 14 (3-4) ◽  
pp. 265-284
Author(s):  
Muna Flaih Alabed ◽  
Ritab Al-Khouri
Keyword(s):  
Emerging Markets ◽  
Stock Exchange ◽  
Amman Stock Exchange ◽  
Intraday Liquidity

Cross-Sectional Relationship Between Beta and Realized Returns in Emerging Markets

2019 ◽  
Vol 65 (2) ◽  
pp. 115-137
Author(s):  
Mohammad A. Khataybeh ◽  
Mohamad Abdulaziz ◽  
Zyad Marashdeh
Keyword(s):  
Emerging Markets ◽  
Stock Exchange ◽  
Expected Returns ◽  
Cross Sectional ◽  
Risk Return ◽  
Conditional Risk ◽  
Bull Markets ◽  
Amman Stock Exchange ◽  
Market Premium ◽  
The Impact

Abstract This paper examines the conditional risk-return relationship caused by the impact of using realized returns as a proxy for expected returns, which requires a separation of negative and positive market premiums. Following the methodology of Pettengill et al. (1995), we test the cross sectional relationship between beta and realized returns on the Amman Stock Exchange (ASE) for ten beta sorted portfolio over the period of January 1993 to December 2016. The empirical results suggest that the traditional two-pass approach produces an insignificant relationship between beta and realized returns in most of the sample period. However, when adjusting for negative market premiums, the results show a significant and consistent relationship for all the testing periods and samples. However, a guaranteed reward for holding extra risk occurred only in the period 2001 –2008, which suggests an assurance of positive risk-return tradeoff during bull markets. JEL Classifications: G11, G12, G15, C21 Asset Pricing, Emerging Markets, Conditional Relationship, Beta, Market Premium

Liquidity Risk And Asset Pricing :, Evidence From Amman Stock Exchange

2017 ◽  
pp. 129
Author(s):  
محمد أحمد بني هاني ◽  
منى ممدوح المولا
Keyword(s):  
Asset Pricing ◽  
Stock Exchange ◽  
Liquidity Risk ◽  
Amman Stock Exchange

Conditional stock liquidity premium: is Warsaw stock exchange different?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Szymon Stereńczak
Keyword(s):  
Emerging Markets ◽  
Stock Returns ◽  
Stock Exchange ◽  
Emerging Market ◽  
Market Liquidity ◽  
Investment Horizon ◽  
Liquidity Premium ◽  
Stock Liquidity ◽  
Content Type ◽  
Bear Market

Purpose This paper aims to empirically indicate the factors influencing stock liquidity premium (i.e. the relationship between liquidity and stock returns) in one of the leading European emerging markets, namely, the Polish one. Design/methodology/approach Various firms’ characteristics and market states are analysed as potentially affecting liquidity premiums in the Polish stock market. Stock returns are regressed on liquidity measures and panel models are used. Liquidity premium has been estimated in various subsamples. Findings The findings vividly contradict the common sense that liquidity premium raises during the periods of stress. Liquidity premium does not increase during bear markets, as investors lengthen the investment horizon when market liquidity decreases. Liquidity premium varies with the firm’s size, book-to-market value and stock risk, but these patterns seem to vanish during a bear market. Originality/value This is one of the first empirical papers considering conditional stock liquidity premium in an emerging market. Using a unique methodological design it is presented that liquidity premium in emerging markets behaves differently than in developed markets.

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