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Recent Trends in Trading ActivityRichard RollUniversity of California, Los Angeles (UCLA) - Finance Area Avanidhar SubrahmanyamUniversity of California, Los Angeles (UCLA) - Finance Area Tarun ChordiaEmory 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 seriesDate posted: March 19, 2009 ; Last revised: January 19, 2010Suggested CitationContact Information
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