The objective of this study was to test and validate the price continuity theory of liquidity in order to determine if there are additional variables that could give a more vivid explanation of market depth. Accordingly, the effect of trading volume on market prices have been extensively used as a norm to explore market depth.
From a regulatory perspective, market depth is an important concept for order optimisation where it assist market participants to place their orders in the right direction. The market depth of an asset has always been an important concept in banking and financial markets because of its connection with hedging and trading cost.
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