This paper examines the impact of day-trading on return volatility and liquidity.
The key finding is that day-trading increases intraday volatility, but this effect
does not persist over the day. Furthermore, day-traders tend to buy shares in down-
markets, and sell in up-markets. This evidence is inconsistent with the common
perception in that day-trading aggravates price movement by employing a positive-
feedback trading. As for liquidity, day-traders are on average liquidity consumers
rather than liquidity suppliers, but the impact is temporary. Day-trading is more
likely to occur when bid-ask spreads are narrow. We also find that day-trading is
more prevalent for stocks with low prices, large trading volume, and high volatility
