Trading volume and the number of trades are both used as proxies for market activity, with disagreement as to which is the better proxy for market activity. This paper investigates this issue using high frequency data for Cisco and Intel in 1997. A number of econometric methods are used, including GARCH augmented with lagged trading volume and number of trades, tests based on moment restrictions, regression analysis of volatility on volume and trades, normality of returns when standardized by volume and number of trades, and Correlation analysis using volatility generated from GARCH and realized volatility. Our results show that the number of trades is the better proxy for market activity.