【毕业设计外文翻译用----金融市场微观结构外文文献】chordia-roll-subra00liquid.pdf

文档介绍：Market Liquidity
And Trading Activity
Tarun Chordia
Richard Roll
Avanidhar Subrahmanyam
July 25, 2000
Contacts
Chordia Roll Subrahmanyam
Voice: 1-615-322-3644 1-310-825-6118 1-310-825-5355
Fax: [phone]-5455
E-mail: tarun.******@ ******@ ******@
Address: Owen School of Management Anderson School Anderson School
Vanderbilt University UCLA UCLA
Nashville, TN 37203 Los Angeles, CA 90095-1481 Los Angeles, CA 90095-1481
Acknowledgement
We are grateful to an anonymous referee and to René Stulz (the editor) for insightful and
constructive criticism. We also thank David Aboody, Michael Brennan, Larry Harris, Ananth
Madhavan, Kevin Murphy, Narayan Naik, . Subramanyam, a second anonymous referee,
and seminar participants at the University of Southern California, INSEAD, Southern
Methodist University, and the London Business School for ments and suggestions,
Ashley Wang for excellent research assistance, and Barry Dombro for help with the
transactions data.
Market Liquidity and Trading Activity
Abstract
Spreads, depths, and trading activity for . 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 short-
term interest rates influence liquidity and trading activity. Depth and trading activity
increase just prior to major macroeconomic announcements.
Market Liquidity and Trading Activity,
July 25, 2000
Introduction
Liquidity and trading activ