Illiquidity and stock returns: The Case of Amman Stock Exchange

Abstract

The objective of this study to determine the relationship between illiquidity and stock returns of industry sector companies listed at the Amman Exchange stock. The research design was descriptive using Illiquidity ratio, the study was undertaken to ascertain the nature of this relationship at the ASE for a5 year period 2013- 2018.The data was obtained from the Amman Stock Exchange in a daily format, which was then converted to a monthly format to fit with the research design, the Sample comprised from stocks that were continuously traded during this period. The Illiquid test shows there is effect of illiquidity in the returns of the shares of companies listed on the Amman Stock Exchange at the level of the industry sector.