The Cross-Section of Daily Variation in Liquidity | Zendy

Tarun Chordia | Zendy; Lakshmanan Shivakumar | Zendy; Avanidhar Subrahmanyam | Zendy

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The Cross-Section of Daily Variation in Liquidity

Author(s) -

Tarun Chordia,

Lakshmanan Shivakumar,

Avanidhar Subrahmanyam

Publication year - 2001

Publication title -

ssrn electronic journal

Language(s) - English

Resource type - Journals

ISSN - 1556-5068

DOI - 10.2139/ssrn.263051

Subject(s) - variation (astronomy) , section (typography) , cross section (physics) , market liquidity , economics , business , monetary economics , physics , advertising , quantum mechanics , astrophysics

In this paper, we analyze cross-sectional heterogeneity in the time-series variation of liquidity. Average daily changes in liquidity exhibit significant heterogeneity in the cross-section. There is a significant time-series relation between changes in individual stock liquidity and changes in daily absolute stock returns. Firm size, return volatility, and volume are all significant crosssectional determinants of this relation.

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