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Determinants of Daily Fluctuations in Liquidity and Trading Activity

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  • Tarun Chordia
  • Richard Roll
  • Avanidhar Subrahmanyam

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  • Tarun Chordia & Richard Roll & Avanidhar Subrahmanyam, 2003. "Determinants of Daily Fluctuations in Liquidity and Trading Activity," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 40(121), pages 728-751.
    • Handle: RePEc:ioe:cuadec:v:40:y:2003:i:121:p:728-751
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    References listed on IDEAS

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    1. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994. "Contrarian Investment, Extrapolation, and Risk," Journal of Finance, American Finance Association, vol. 49(5), pages 1541-1578, December.
    2. Jones, Charles M & Kaul, Gautam & Lipson, Marc L, 1994. "Transactions, Volume, and Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 631-651.
    3. Paul Draper & Krishna Paudyal, 1997. "Microstructure and Seasonality in the UK Equity Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(7‐8), pages 1177-1204, September.
    4. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(1), pages 109-126, March.
    5. Ho, Thomas & Stoll, Hans R., 1981. "Optimal dealer pricing under transactions and return uncertainty," Journal of Financial Economics, Elsevier, vol. 9(1), pages 47-73, March.
    6. Harris, Lawrence E, 1994. "Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation Sizes," The Review of Financial Studies, Society for Financial Studies, vol. 7(1), pages 149-178.
    7. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
    8. Lee, Charles M C & Ready, Mark J, 1991. "Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-746, June.
    9. Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
    10. Lakonishok, Josef & Maberly, Edwin, 1990. "The Weekend Effect: Trading Patterns of Individual and Institutional Investors," Journal of Finance, American Finance Association, vol. 45(1), pages 231-243, March.
    11. Paul Draper & Krishna Paudyal, 1997. "Microstructure and Seasonality in the UK Equity Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(7‐8), pages 1177-1204, September.
    12. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    13. Harris, Lawrence, 1986. "A transaction data study of weekly and intradaily patterns in stock returns," Journal of Financial Economics, Elsevier, vol. 16(1), pages 99-117, May.
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    Cited by:

    1. Tissaoui, Kais & Hkiri, Besma & Talbi, Mariem & Alghassab, Waleed & Alfreahat, Khaled Issa, 2021. "Market volatility and illiquidity during the COVID-19 outbreak: Evidence from the Saudi stock exchange through the wavelet coherence approaches," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    2. Camilleri, Silvio John & Galea, Francelle, 2019. "The Determinants of Securities Trading Activity: Evidence from four European Equity Markets," MPRA Paper 95298, University Library of Munich, Germany.
    3. Andrew C. Meldrum & Oleg Sokolinskiy, 2023. "The Effects of Volatility on Liquidity in the Treasury Market," Finance and Economics Discussion Series 2023-028, Board of Governors of the Federal Reserve System (U.S.).
    4. Bai, Min & Qin, Yafeng, 2015. "Commonality in liquidity in emerging markets: Another supply-side explanation," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 90-106.
    5. Szymon Stereńczak, 2020. "State-Dependent Stock Liquidity Premium: The Case of the Warsaw Stock Exchange," IJFS, MDPI, vol. 8(1), pages 1-24, March.

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