We investigate the influence of the firm value on the relationship between equity trading activity, market liquidity and return volatility at the portfolio level. For the different firmvalue portfolio, we find that trading activity is negatively associated with liquidity but it is positively associated with volatility so higher trading activity leads to more volatile returns. For the very largest firm-value portfolio, the volatility-liquidity relationship is negative. However, this relationship is positive for other portfolios.
No takes yet. Share an insight, caveat, or question.
Nafissa et al. (2024) studied this question.
Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context: