Market Liquidity And Trading Activity  

Oleh:

Chordia, Tarun ; Roll, Richard ; Subrahmanyam, Avanidhar

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 2 (2001), page 501-530.
Topik: liquidity; studies; liquidity; volatility; securities markets; spread; time series
Fulltext: p 501.pdf (1.75MB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Previous studies of liquidity span short time periods and focus on the individual security. In contrast, this article studies aggregate market spreads, depths, and trading activity for US equities over an extended time sample. Daily changes in market averages of liquidity and trading activity are highly volatile and negatively serially dependent. Liquidity plummets significantly in down markets. Recent market volatility induces a decrease in trading activity and spreads. There are strong day - of - the - week effects, Fridays accompany a significant decrease in trading activity and liquidity, while Tuesdays display the opposite pattern. Long - and short - term interest rates influence liquidity. Depth and trading activity increase just prior to major macroeconomic announcements.

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