Abstract

http://ssrn.com/abstract=1364006
 
 

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Recent Trends in Trading Activity


Richard Roll


California Institute of Technology

Avanidhar Subrahmanyam


University of California, Los Angeles (UCLA) - Finance Area; Centre for International Finance and Regulation (CIFR)

Tarun Chordia


Emory University - Department of Finance

March 18, 2009

AFA 2010 Atlanta Meetings Paper

Abstract:     
We explore the sharp uptrend in trading activity during recent years. Higher turnover has been associated with more frequent smaller trades, which have progressively formed a larger fraction of trading volume over time. Evidence indicates that secular decreases in trading costs have influenced the turnover trend. Turnover has increased the most for stocks with the greatest level of institutional holdings, suggesting professional investing as a key contributor to the turnover trend. Variance ratio tests suggest that more institutional trading has increased information-based trading. The sensitivity of turnover to past returns has increased significantly, revealing a more widespread use of quantitative trading strategies.

Number of Pages in PDF File: 58

Keywords: Trading Volume, Turnover, Liquidity, Institutions, Hedge Funds

JEL Classification: G10, G12

working papers series





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Date posted: March 19, 2009 ; Last revised: January 19, 2010

Suggested Citation

Roll, Richard and Subrahmanyam, Avanidhar and Chordia, Tarun, Recent Trends in Trading Activity (March 18, 2009). AFA 2010 Atlanta Meetings Paper. Available at SSRN: http://ssrn.com/abstract=1364006 or http://dx.doi.org/10.2139/ssrn.1364006

Contact Information

Richard W. Roll
California Institute of Technology ( email )
1200 East California Blvd
Mail Code: 228-77
Pasadena, CA 91125
United States
626-395-3890 (Phone)
310-836-3532 (Fax)
Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area ( email )
Los Angeles, CA 90095-1481
United States
310-825-5355 (Phone)
310-206-5455 (Fax)
Centre for International Finance and Regulation (CIFR) ( email )
Level 7, UNSW CBD Campus
1 O'Connell Street
Sydney, NSW 2000
Australia

Tarun Chordia (Contact Author)
Emory University - Department of Finance ( email )
Atlanta, GA 30322-2710
United States
404-727-1620 (Phone)
404-727-5238 (Fax)
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