Liquidity Commonality in an Emerging Market: Evidence from the Amman Stock Exchange
Bibliographic record
Abstract
The financial crises, such as the market crash of October 1987, the 1997 East Asian financial crisis and the 1998 long-term capital management (LTCM) crisis, have all shed fresh light on the importance of systematic liquidity (i.e., market-wide liquidity factor). Following the new trend in market microstructure research, this study examines the commonality in liquidity for the Amman Stock Exchange (ASE), one of the emerging markets in the MENA region. Based on data for 247 firms from March 26, 2000 to December 31, 2011, and applying the market model of Chordia et al. (2000), the results provide strong evidence of the presence of market-wide commonality in liquidity. The cross-sectional mean of the estimated coefficient of concurrent market liquidity is statistically significant for all liquidity measures, apart from the price impact measure. Price impact aside, the results show that commonality is pervasive across all size-based portfolios. The results also show an insignificant industry component in individual stocks’ liquidity.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.002 | 0.007 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.003 | 0.003 |
| Science and technology studies | 0.001 | 0.001 |
| Scholarly communication | 0.002 | 0.002 |
| Open science | 0.001 | 0.002 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.002 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".