Distribution of volume on the American stock market

Henryk Gurgul, Roland Mestel () and Tomasz Wójtowicz ()

Managerial Economics, 2007, vol. 1, 143-163

Abstract: This paper reviews previous contributions to trading volume theory and investigates the statistical properties of stock returns and trading volume using stock data of American companies included in the DJIA segment. Results are presented on a daily returns and volumes data basis for the whole period August 1997 to October 2004 and two subperiods (August 1997-February 2001; March 2001-October 2004). It turns out that NIG and hyperbolic distribution describes the log-volume and stock returns in the best way, in case of stock returns, this is in accordance with results from the literature.

Keywords: American; stock; market (search for similar items in EconPapers)
Date: 2007
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.managerial.zarz.agh.edu.pl/old/Manageri ... 201%20%282007%29.pdf (application/pdf)

Related works:
Working Paper: Distribution of Volume on the American Stock Market (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:agh:journl:v:1:y:2007:p:143-163

Access Statistics for this article

Managerial Economics is currently edited by Henryk Gurgul

More articles in Managerial Economics from AGH University of Science and Technology, Faculty of Management Contact information at EDIRC.
Bibliographic data for series maintained by Lukasz Lach ().