Market Liquidity and Trading Activity

By Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam. 2001

1,534 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f7a7d072dff240e5f60500a43763f0bb5e5653b8

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Citations in the corpus

Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries (2007, neutral): “Using the past five-day return, Chordia, Roll, and Subrahmanyam (2001) find a positive relation between negative 4 past returns and dollar volume of the U.S. market using daily data from 1988 through 1998, but an insignificant negative relation between positive past returns and volume.”
Liquidity Shocks and Stock Market Reactions (2014, background): “Brennan and Subrahmanyam (1996), Eleswarapu (1997), Brennan, Chordia, and Subrahmanyam (1998), Datar, Naik, and Radcliffe (1998), Chordia, Roll, and Subrahmanyam (2001), Amihud (2002) and Hasbrouck (2009) have shown that the stock level illiquidity is an important determinant of expected returns.”
Commonality in Liquidity: Evidence from an Order-Driven Market Structure (2002, background): “Evidence of Commonality In this section we follow the approach of Chordia, Roll, and Subrahmanyam (2000) to provide order-driven results comparable to their specialist-based findings.2 We test for commonality in liquidity using the following firm-by-firm time series regression: LiquidityJ,t = α + β1”
The Outbreak of COVID-19 and Stock Market Responses: An Event Study and Panel Data Analysis for G-20 Countries (2020, background): “Chordia et al. (2001) found a significant change in the trading volume and market liquidity around macroeconomic announcements.”
Tweets and Trades: The Information Content of Stock Microblogs (2010, positive): “…have suggested that message volume and agreement contain valuable information with respect to trading volume, it remains to be seen whether these relationships can survive the inclusion of a more inclusive set of relevant control variables derived by Chordia, Roll, and Subrahmanyam (2001).”
Weather and intraday patterns in stock returns and trading activity (2008, methodology): “4 Chordia et al. (2001) provide a justification for using only NYSE quotes.”
The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns (2010, background): “…allows us to address the following issues, which are as yet unexamined in the literature: i) Previous research (Brunnermeier and Pedersen (2009), Chordia, Roll, and Subrahmanyam (2001)) suggests that macroeconomic variables and price volatility may impact bond market liquidity by affecting…”
Commonality in Liquidity: A Global Perspective (2009, positive): “In the second section of our analysis, we extend the methodology of Chordia et al. (2000) to capture the influence of global commonality on exchange-level liquidity.”
The Determinants and Consequences of Heterogeneous IFRS Compliance Levels Following Mandatory IFRS Adoption: Evidence from a Developing Country (2011, neutral): “Moreover, Chordia et al. (2001) document a significant association between trading volume and various stock-based measures of firm information asymmetry, such as a firm’s bid-ask spread and market depth.”
Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis (2007, positive): “For each stock the following variables are calculated (these variables have also been the focus of earlier research on long-horizon liquidity; see e.g., Chordia, Roll, and Subrahmanyam, 2001): • Quoted spread: the difference between the asked and the bid quote.”