Analysis of Intraday and Intraweek Patterns of Market Liquidity in Tehran Stock Exchange

This study examines the patterns of liquidity in Tehran Stock Exchange. Using about 6 million data from 33 member companies of the TEFIX30, order book reconstructed and tests were conducted on the basis of about 1.8 million minute data. We find L-shaped intraday pattern and semi U-shaped intraweek pattern in the spread. The findings reveal an ascending intraday trend and U-shaped intraweek pattern for depth. There were no significant patterns for market height. In general, liquidity in the early hours of market is at its lowest level and reaches the highest at the end of trading hours. This result can be attributed to simultaneously managing both price and quantity dimensions of liquidity by limit order traders as liquidity providers. This behavior can be interpreted by impact of information asymmetry on the market.