The Number of Traded Shares: A Time Series Modelling Approach

Kurt Brännäs ()

No 860, Umeå Economic Studies from Umeå University, Department of Economics

Abstract: This short paper proposes a characterization for the number of traded shares or trading volume in terms of its data generating process. Share ownership plays a vital role. An empirical illustration based on the Nokia stock is included. Long memory in trading volume is linked to the long memory feature of ownership.

Keywords: Integer-valued; INAR; Ownership; Trading volume; Stock; Nokia (search for similar items in EconPapers)
JEL-codes: C22 C51 C58 G10 G32 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2013-05-20
New Economics Papers: this item is included in nep-ecm
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