Recent Trends in Trading Activity
California Institute of Technology
University of California, Los Angeles (UCLA) - Finance Area; Centre for International Finance and Regulation (CIFR)
Emory University - Department of Finance
March 18, 2009
AFA 2010 Atlanta Meetings Paper
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, G12working papers series
Date posted: March 19, 2009 ; Last revised: January 19, 2010
© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo3 in 0.625 seconds