Does trading volume have a unit root?
Time series properties of daily trading volume are examined for 22 New York Stock Exchange (NYSE) firms. Previous studies have found that trading volume of certain financial assets have a unit root. The Phillips-Perron approach, which is robust to heteroskedasticity and non-normality, isused to test the hypothesis of a unit root. There is strong evidence that daily volume is stationary around a linear trend. Also, for many stocks the deterministic trend is statistically significant. This result indicates the importance of appropriate detrending of trading volume before incorporating it in an economic model.
Year of publication: |
1995
|
---|---|
Authors: | Darbar, Salim ; Deb, Partha |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 2.1995, 5, p. 144-147
|
Publisher: |
Taylor & Francis Journals |
Saved in:
Saved in favorites
Similar items by person
-
The unbiasedness of the forward exchange rate: evidence from the 1920s
Darbar, Salim, (1994)
-
Former Yugoslav Republic of Macedonia : selected issues and statistical appendix
Darbar, Salim, (2002)
-
Finite sample properties of the ARCH class of models with stochastic volatility
Deb, Partha, (1997)
- More ...