9th Symposium on Finance, Banking, and Insurance Universität Karlsruhe (TH), Germany, December 11 - 13, 2002 Abstract |
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Richard Roll |
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University of
California at Los Angeles |
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Traditionally, empirical studies of liquidity have focused on time spans of a year or less. In this paper, we study an eleven-year history of daily spreads, depths, and trading activity averaged over more than 1300 NYSE/AMEX stocks. We find that movements in short- and long-term interest rates have a strong impact on market-average trading activity, though their effect on liquidity is limited. The strongest detected influences on market liquidity and trading activity are exerted by the day-of-the-week and the equity market return in the recent past. |
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