Dynamic spectrum trading amongst small cognitive users is fundamentally different along two axes: temporal variation, and spatial variation of user demand and channel condition. We advocate that a spectrum secondary market, analogous to the stock market, is to be established for users to dynamically trade among themselves their channel holdings obtained in the primary market from legacy owners. We design a market mechanism based on dynamic double auctions, creating a marketplace in the air to match bandwidth demand with supply. In the analysis we prove important economic properties of the mechanism, notably its truthfulness and asymptotic efficiency in maximizing spectrum utilization. Complimentary simulation studies corroborate that spectrum utilization and user performance can be improved by establishing the spectrum secondary market.