Three Essays on the Market Microstructure of the Saudi St...
Al Suhaibani, Mohammad
Using data sets on orders, order packages, quotes, trades and market-limit orders, the thesis investigated several aspects of the microstructure of the Saudi Stock Market (SSM) under the computerized trading system, ESIS (Electronic Securities Information System). The thesis studied the interaction between the order book and order flow, limit order execution, trading by limit versus market orders, order performance, and the information content...