Market Liquidity and Trading Activity
研究美国股票市场整体流动性（买卖价差、深度）和交易活动的日度变化，发现其高度波动且负序列相关，市场下跌时流动性骤降，近期波动降低交易量和价差，周五流动性最差、周二最佳，利率和宏观公告前也有影响。
ABSTRACT Previous studies of liquidity span short time periods and focus on the individual security. In contrast, we study aggregate market spreads, depths, and trading activity for U.S. equities over an extended time sample. Daily changes in market averages of liquidity and trading activity are highly volatile and negatively serially dependent. Liquidity plummets significantly in down markets. Recent market volatility induces a decrease in trading activity and spreads. There are strong day‐of‐the‐week effects; Fridays accompany a significant decrease in trading activity and liquidity, while Tuesdays display the opposite pattern. Long‐ and short‐term interest rates influence liquidity. Depth and trading activity increase just prior to major macroeconomic announcements.