Jumps and Liquidity in the U.S. Stock Market

We use a new framework to analyze the liquidity trends in the US equity markets, based on the intra-day price trend. The analysis suggests that the proportion of daily price variation explained by jumps (either small or large) is at a historical low. Furthermore while small jumps (which are generally liquidity related) are less common, but they increase significantly during the stress events. Overall, these findings suggest that liquidity has not materially deteriorated in the U.S. equity market