Abstract
Spreads, depths and trading activity for US equities are studied over an extended time sample. Daily changes in market averages of liquidity and trading activity are highly volatile, negatively serially correlated and influenced by a variety of factors. Liquidity plummets significantly in down markets but increases weakly in up markets. Trading activity increases in either up or down markets. Recent market volatility induces less trading activity and reduces spreads. There are strong day-of-the-week effects; Fridays are relatively sluggish while Tuesdays are active. Long and short term interest rates influence liquidity and trading activity. Depth and trading activity increase just prior to major macroeconomic announcements.
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