DMCA
Market Liquidity And Trading Activity (2000)
| Citations: | 176 - 22 self |
BibTeX
@MISC{Chordia00marketliquidity,
author = {Tarun Chordia and Richard Roll and Avanidhar Subrahmanyam},
title = {Market Liquidity And Trading Activity},
year = {2000}
}
Share
 |
 |
 |
 |
||
OpenURL
Abstract
Spreads, depths, and trading activity for U.S. equities are studied over an extended time sample. Daily changes in market averages of liquidity and trading activity are highly volatile, negatively serially dependent, and influenced by a variety of factors. Liquidity plummets significantly in down markets but increases weakly in up markets. Trading activity increases in either up or down markets. Recent market volatility induces less trading activity and reduces spreads. There are strong day-of-the-week effects; Fridays are relatively sluggish and illiquid while Tuesdays are the opposite. Long- and shortterm interest rates influence liquidity and trading activity. Depth and trading activity increase just prior to major macroeconomic announcements.
