(CNN) Protesters marched on Chicago's luxury corridor during a major shopping holiday Friday and demanded the resignations of the city's top leaders, alleging a yearlong cover-up of a police video depicting an officer's killing of teenager Laquan McDonald.

Paralyzing traffic on Chicago's famous Michigan Avenue, demonstrators used Black Friday's prominence to declare that the mayor, police commissioner and prosecutor must step down.

They also demanded a federal investigation into the Chicago Police Department.

Protesters locked arms outside the doors of major retailers such as Neiman Marcus and Tiffany & Co., preventing shoppers from entering. To exit stores, shoppers often knocked on the glass doors and asked protesters to allow them out.

Police kept a distance from the protesters and blocked traffic from entering onto Michigan Avenue.

Led by the Rev. Jesse Jackson, U.S. Rep. Bobby Rush and other black leaders, protesters flowed across the elegant thoroughfare, also called Chicago's Magnificent Mile, which leads to the city's Gold Coast neighborhood.

Demonstrators chanted "Stop the cover-up!" and "16 shots! 16 shots!" which was the number of times the officer fired upon McDonald.

"We're tired of this police cover-up and the state's attorney's cover-up," said the Rev. Michael Pfleger, a Catholic priest in Chicago. "People are mad here in Chicago."

JUST WATCHED Demonstrators march in protest of Laquan McDonald shooting Replay More Videos ... MUST WATCH Demonstrators march in protest of Laquan McDonald shooting 02:17

On Saturday, shopping on Michigan Avenue returned to normal, but the Rev. Marshall Hatch said protesters will hold additional marches in coming days.

McCarthy won't resign, he said Friday.

"I've never quit on anything in my life," McCarthy said. "What I will tell you is that the mayor has made it very clear that he has my back.

"And if people peel away the onion on what's happening right now in the policing world, you're going to find a police department that's doing an exceptional job."

Mayor Rahm Emanuel and Cook County State's Attorney Anita Alvarez weren't immediately available for comment Friday.

Officer Jason Van Dyke, right, has been charged in Laquan McDonald's death.

This week's release of police dash cam video of McDonald's killing is becoming a political as well as policing controversy.

The video shows McDonald, 17, being shot on a city street last year by Officer Jason Van Dyke, who this week was charged with first-degree murder. Even President Barack Obama said he was "deeply disturbed" by the footage.

Local NAACP chapters joined the call for a federal investigation into the police department, CNN affiliate WGN said. Jackson said he met with Rush and U.S. Rep. Danny Davis as well as activists, and they too sought a U.S. Justice Department inquiry into the police's handling of the McDonald shooting, according to the Chicago Tribune.

Jackson is also demanding changes to the police chain of command.

"The police leadership has to change as well as its infrastructure," Jackson said moments before Friday's march.

What continues to roil the black community is that police and prosecutor Alvarez waited 400 days to release the tape, well after a spring election in which Emanuel faced stiff competition and had to undergo the first runoff election in Chicago history, an eyebrow-raising moment for an incumbent in a city renowned for its "machine"-like politics.

Emanuel, a former top aide to Obama, won re-election.

"Who knew about the tape, and who covered it up for 13 months?" Jackson asked.

In the wake of the video's release, protesters and community leaders want a Justice Department investigation similar to ones conducted into the police departments in Cleveland and Ferguson, Missouri, and one now being conducted in Baltimore.

"We believe CPD officers have engaged in the systemic use of excessive force and carried out a pattern of discriminatory harassment against African-American residents in the city," Chicago Urban League interim President Shari Runner said in a statement. "Furthermore, they have been dishonest about those practices, in some cases even covering up illegal activity.

JUST WATCHED Chicago Mayor Rahm Emanuel calls for peace Replay More Videos ... MUST WATCH Chicago Mayor Rahm Emanuel calls for peace 01:22

"It is imperative that the Department of Justice step in and correct this conduct before there is any more loss of life."

Jackson, president of the Chicago-based Rainbow PUSH Coalition, noted how the city opposed the release of the video until a judge finally ordered its release under a reporter's Freedom of Information Act request.

Jackson and Rush want a special prosecutor in the McDonald case, they said. Rush also called for a separate grand jury investigation.

"The state's attorney has no credibility," Jackson said. "This was strategically covered up."

Added Rush, beside Jackson as they marched on Michigan Avenue: "Our fight for justice will not stop."

Public access to government records has generated headlines in the nation's third-biggest city.

In September, the Chicago Tribune filed a lawsuit alleging that the mayor violated state open-records laws by refusing to release communications about city business conducted through private emails and text messages. The newspaper accused the mayor's office of "a pattern of noncompliance, partial compliance, delay and obfuscation" in handling the public's requests to see records.

Emanuel said his office always complies and works through all information requests "in the most responsive way possible," the newspaper reported.

Regarding the delay in releasing the video of McDonald's shooting, Jackson wrote on his group's website that city officials "sat on the tape for more than a year, buried the killing in an unending investigation, gave the officer a pass, and got through the elections."

Hours before the video's release this week, Alvarez filed a first-degree murder charge against Van Dyke, the officer who fired 16 shots in about 15 seconds at McDonald.

Van Dyke's attorney, Daniel Herbert, said his client feared for his life in his encounter with McDonald, who was armed with a knife, and that the one video doesn't tell the full story of events leading up to the shooting.