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1、THEJOURNALOFFINANCE·VOL.LVI,NO.2·APRIL2001MarketLiquidityandTradingActivityTARUNCHORDIA,RICHARDROLL,andAVANIDHARSUBRAHMANYAM*ABSTRACTPreviousstudiesofliquidityspanshorttimeperiodsandfocusontheindividualsecurity.Incontrast,westudyaggregatemarketspreads,depths,andtradingac-tivityforU
2、.S.equitiesoveranextendedtimesample.Dailychangesinmarketaveragesofliquidityandtradingactivityarehighlyvolatileandnegativelyseriallydependent.Liquidityplummetssignificantlyindownmarkets.Recentmarketvol-atilityinducesadecreaseintradingactivityandspreads.Therearestrongday-of-the-weeke
3、ffects;Fridaysaccompanyasignificantdecreaseintradingactivityandliquidity,whileTuesdaysdisplaytheoppositepattern.Long-andshort-terminterestratesinfluenceliquidity.Depthandtradingactivityincreasejustpriortomajormacroeconomicannouncements.LIQUIDITYANDTRADINGACTIVITYareimportantfeature
4、soffinancialmarkets,yetlittleisknownabouttheirevolutionovertimeorabouttheirtime-seriesdeterminants.Theirfundamentalimportanceisexemplifiedbytheinflu-enceoftradingcostsonrequiredreturns~AmihudandMendelson~1986!,andJacoby,Fowler,andGottesman~2000!!whichimpliesadirectlinkbe-tweenliqui
5、dityandcorporatecostsofcapital.Moregenerally,exchangeor-ganization,regulation,andinvestmentmanagementcouldallbeimprovedbyknowledgeoffactorsthatinfluenceliquidityandtradingactivity.Abetterunderstandingofthesedeterminantsshouldincreaseinvestorconfidenceinfinancialmarketsandtherebyenh
6、ancetheefficacyofcorporateresourceallocation.Notwithstandingtheimportanceofresearchaboutliquidity,existingstud-iesoftradingcostshaveallbeenperformedovershorttimespansofayearorless.Inaddition,thesestudieshaveusuallyfocusedontheliquidityofindividualsecurities.Thisisprobablyduetothete
7、dioustaskofhandlingvoluminousintradaydataand,untilrecently,thepaucityofintradaydatagoingbackmorethanafewyears.Thus,virtuallynothingisknownabout*ChordiaisfromtheGoizuetaBusinessSchoolatEmoryUniversity.RollandSubrahman-yamarefromtheAndersonSchoolofManagementatUCLA.WearegratefultoLarr
8、yGlosten,ananonymousrefere
