haku: @all turnover / yhteensä: 1051
viite: 8 / 1051
Tekijä:Chordia, T.
Roll, R.
Subrahmanyam, A.
Otsikko:Recent trends in trading activity and market quality
Lehti:Journal of Financial Economics
2011 : AUG, VOL. 101:2, p. 243-263
Asiasana:trading volumes
market efficiency
stock markets
Tiivistelmä:The sharp uptrend in recent trading activity accompanied with changes in market efficiency are explored. Higher turnover has been connected with more frequent smaller trades, which have progressively shaped a larger fraction of trading volume over time. Evidence implies that secular decreases in trading costs have inflicted the turnover trend. Turnover has increased the most for stocks with the highest level of institutional holdings, suggesting that professional investing is an essential contributor to the turnover trend. Variance ratio tests suggest that increased institutional trading has raised information-based trading. Intraday volatility has decreased and prices have conformed more closely to random walk in recent years. Turnover has become more sensitive to past returns and cross-sectional return predictability has decreased significantly, uncovering a more widespread use of quantitative trading strategies that allow for improved securities price efficiency.
SCIMA tietueen numero: 275449
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