The Number of Shareholders - Time Series Modelling and Some Empirical Result

Kurt Brännäs ()

No 855, Umeå Economic Studies from Umeå University, Department of Economics

Abstract: The paper discusses some model related issues for time series of the number of shareholders in a stock. The point of departure is an integer-valued autoregressive model of order one. Empirical results are presented for some frequently traded stocks on the Finnish and Swedish stock markets. In these stock markets public records of the number of owners are reported monthly (Finland) and quarterly (Sweden, and initially at biannual) intervals. The aggregate records are useful for, e.g., indirectly estimating average holding times, which are found to vary but to mostly exceed one year.

Keywords: Integer-valued; autoregression; nonlinear; holding time; stock; share (search for similar items in EconPapers)
JEL-codes: C22 C25 G10 G11 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2013-01-28
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