haku: @indexterm liquidity / yhteensä: 315
viite: 145 / 315
Tekijä: | Chordia, T. Roll, R. Subrahmanyam, A. |
Otsikko: | Market liquidity and trading activity |
Lehti: | Journal of Finance
2001 : APR, VOL. 56:2, p. 501-530 |
Asiasana: | Equities Financial market trading Liquidity USA |
Kieli: | eng |
Tiivistelmä: | The authors 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 hihgly 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. |
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