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Empirical work that investigates how market liquidity varies over time for an emerging market is virtually nonexistent. This paper, therefore, provides evidence from the Amman Stock Exchange (thereafter ASE), on the sources of the times-series variation of market liquidity and its time-series behavior, using a comprehensive sample of stocks over a 15-year time span. Concurrent market movements and market trend variables significantly affect daily changes in market liquidity. There isdoi:10.5539/ijef.v8n10p48 fatcat:e4sfyzocn5fwtf3iw6rhe4ojlq