The Number of Traded Shares: A Time Series Modelling Approach

This short paper proposes a characterization for the number of traded shares or trading volume in terms of its data generating process. Share ownership plays a vital role. An empirical illustration based on the Nokia stock is included. Long memory in trading volume is linked to the long memory feature of ownership.

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Year of publication:	2013-05-20
Authors:	Brännäs, Kurt
Institutions:	Institutionen för Nationalekonomi, Umeå Universitet
Subject:	Integer-valued \| INAR \| Ownership \| Trading volume \| Stock \| Nokia

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Extent:	application/pdf
Series:	Umeå Economic Studies.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Umeå Economic Studies Number 860 8 pages
Classification:	C22 - Time-Series Models ; C51 - Model Construction and Estimation ; c58 ; G10 - General Financial Markets. General ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010659469