Market Liquidity and Price Dynamics in Tadawul: A Firm-Day Analysis of Saudi Listed Firms, 2001–2020
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This study examines trading activity, liquidity, and price behavior in the Saudi Stock Exchange (Tadawul) using a firm-day panel of 600,571 observations for 200 listed companies in 11 sectors from 31 December 2001 to 23 April 2020. The paper follows a descriptive design built on sample profiles, annual and sector comparisons, correlation analysis, one-way analysis of variance, and an ordinary least squares model for the logarithm of traded value. The results show strong market broadening over time, with listed firms increasing from 49 in 2001 to 200 in the 2020 sample. Trading intensity and average traded value peaked in the mid-2000s, especially in 2006, then moderated. Liquidity remained concentrated in a small group of firms and sectors. Traded volume shows the strongest association with traded value, while sector differences in daily returns are statistically significant but economically small. Overall, Tadawul appears to be a larger and more diverse market than at the start of the sample, but one in which liquidity is still unevenly distributed.
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