Stock market trading activity and returns around milestones

George O. Aragon and Stephan Dieckmann

Journal of Empirical Finance, 2011, vol. 18, issue 4, 570-584

Abstract: We study the relation between daily stock market trading activity and the Dow Jones Industrial Average's (DJIA) movement around millenary milestones--numbers that end in three zeros. We find aggregate turnover to be 5% lower when the DJIA level is less than 1% away from the nearest milestone. The effect emerges as the DJIA approaches a milestone from below, and is stronger for first-time milestones compared to subsequent passages. The aggregate price impact is large, such that daily stock returns show a negative abnormal performance of -Â 10 basis points. Our findings suggest that millenary milestones of the DJIA play a role in some investors' decision making.

Keywords: Trading; volume; Milestone; effect; Return; predictability; Asset; pricing; anomaly (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:18:y:2011:i:4:p:570-584

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