Temporal variations of serial correlations of trading volume in the US stock market

José Alvarez-Ramírez and Eduardo Rodríguez

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 16, 4128-4135

Abstract: Serial correlations in the trading volume of the US stock market are investigated in this paper. The use of the detrended fluctuation analysis implemented within a rolling window indicated that, for the period 1929–2011, the strength of correlations exhibits important temporal variations with a trend shift by the 1990s, and 4-year and 21-year cycles. These empirical findings are compared to those obtained for mature international stock markets (FTSE-100 and Nikkei) and discussed in terms of potential economic and financial implications.

Keywords: Stock market; Trading volume; Serial correlations; Business cycles (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:16:p:4128-4135

DOI: 10.1016/j.physa.2012.03.030

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