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Cited by 1,546

The DOI matches its Crossref record.

Market Liquidity and Trading Activity

Open access
Chordia, Tarun, Roll, Richard, Subrahmanyam, Avanidhar·2001·The Journal of Finance
DOI 10.1111/0022-1082.00335
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Abstract

Previous studies of liquidity span short time periods and focus on the individual security. In contrast, we study aggregate market spreads, depths, and trading activity for U.S. 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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Metadata

Authors
Chordia, T., Roll, R., & Subrahmanyam, A.
Venue
The Journal of Finance
Publisher
Wiley
Published
2001-04
Volume
56
Issue
2
Pages
501-530
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/0022-1082.00335
OpenAlex
W3123899576
Cited by
1,546
References
0
FWCI
57.76
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: Market Liquidity and Trading Activity. https://app.cochat.ai/papers/10.1111/0022-1082.00335
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Chordia, T., Roll, R., & Subrahmanyam, A. (2001). Market Liquidity and Trading Activity. The Journal of Finance. https://doi.org/10.1111/0022-1082.00335

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.