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Distribution of volume on the American stock market

Author

Listed:
  • Henryk Gurgul

    (AGH University of Science and Technology in Cracow, Department of Applications of Mathematics in Economics)

  • Roland Mestel

    (University of Applied Sciences Joanneum in Graz, Department of Banking and Insurance)

  • Tomasz Wojtowicz

    (AGH University of Science and Technology in Cracow, Department of Applications of Mathematics in Economics)

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.

Suggested Citation

  • Henryk Gurgul & Roland Mestel & Tomasz Wojtowicz, 2007. "Distribution of volume on the American stock market," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 1, pages 143-163.
    • Handle: RePEc:agh:journl:v:1:y:2007:p:143-163
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    American stock market;

    JEL classification:

    • G0 - Financial Economics - - General
    • G00 - Financial Economics - - General - - - General

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