58 Pages Posted: 19 Mar 2009 Last revised: 19 Jan 2010
Date Written: March 18, 2009
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.
Keywords: Trading Volume, Turnover, Liquidity, Institutions, Hedge Funds
JEL Classification: G10, G12
Suggested Citation: 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: https://ssrn.com/abstract=1364006 or http://dx.doi.org/10.2139/ssrn.1364006