Al-Suhaibani M., Kryzanowski L. An exploratory analysis of the order book, and order flow and execution on the Saudi stock market

Journal of Banking & Finance №24, 2000 - 1323-1357The microstructure of the Saudi Stock Market (SSM) under the new computerized trading system, ESIS, is described, and order and other generated data sets are used to examine the patterns in the order book, the dynamics of order ¯ow, 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 di erent structures.
We nd that liquidity, as commonly measured by width and depth, is relatively low on the SSM. However, liquidity is exceptionally high when measured by immediacy. Limit orders that are priced reasonably, on average, have a short duration before being executed, and have a high probability of subsequent execution.