Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: Journal of Financial Economics 101 (2011) 2, pp. 243-263
We explore the sharp uptrend in recent trading activity and accompanying changes in market efficiency. Higher turnover has been associated with more frequent smaller trades, which have progressively formed a larger fraction of trading volume over time. Evidence indicates that secular decreases...