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An exploratory analysis of the order book, and order flow and execution on the Saudi stock market

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  • Al-Suhaibani, Mohammad
  • Kryzanowski, Lawrence

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  • Al-Suhaibani, Mohammad & Kryzanowski, Lawrence, 2000. "An exploratory analysis of the order book, and order flow and execution on the Saudi stock market," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1323-1357, August.
    • Handle: RePEc:eee:jbfina:v:24:y:2000:i:8:p:1323-1357
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    3. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. "An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-1689, December.
    4. Hedvall, Kaj & Niemeyer, Jonas & Rosenqvist, Gunnar, 1997. "Do buyers and sellers behave similarly in a limit order book? A high-frequency data examination of the Finnish stock exchange," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 279-293, June.
    5. Brock, William A. & Kleidon, Allan W., 1992. "Periodic market closure and trading volume : A model of intraday bids and asks," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 451-489.
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    8. Lo, Andrew W. & MacKinlay, A. Craig & Zhang, June, 2002. "Econometric models of limit-order executions," Journal of Financial Economics, Elsevier, vol. 65(1), pages 31-71, July.
    9. Niemeyer, Jonas & Sandås, Patrik, 1995. "An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange," SSE/EFI Working Paper Series in Economics and Finance 44, Stockholm School of Economics.
    10. Thomas H. McInish & Robert A. Wood, 1991. "Hourly Returns, Volume, Trade Size, And Number Of Trades," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(4), pages 303-315, December.
    11. Butler, Kirt C. & Malaikah, S. J., 1992. "Efficiency and inefficiency in thinly traded stock markets: Kuwait and Saudi Arabia," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 197-210, February.
    12. Madhavan, Ananth, 1992. "Trading Mechanisms in Securities Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 607-641, June.
    13. Chan, Louis K C & Lakonishok, Josef, 1995. "The Behavior of Stock Prices around Institutional Trades," Journal of Finance, American Finance Association, vol. 50(4), pages 1147-1174, September.
    14. Bruce N. Lehmann and David M. Modest., 1994. "Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View," Research Program in Finance Working Papers RPF-234, University of California at Berkeley.
    15. Thomas H. McInish & Robert A. Wood, 1991. "Hourly Returns, Volume, Trade Size, And Number Of Trades," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(4), pages 303-315, December.
    16. Gerety, Mason S & Mulherin, J Harold, 1992. "Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close," Journal of Finance, American Finance Association, vol. 47(5), pages 1765-1784, December.
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    18. Chan, Kalok & Chung, Y. Peter & Johnson, Herb, 1995. "The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and CBOE Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(3), pages 329-346, September.
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