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Stock market trading activity and returns around milestones

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  • Aragon, George O.
  • Dieckmann, Stephan

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.

Suggested Citation

  • Aragon, George O. & Dieckmann, Stephan, 2011. "Stock market trading activity and returns around milestones," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 570-584, September.
    • Handle: RePEc:eee:empfin:v:18:y:2011:i:4:p:570-584
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    4. Christos Alexakis & Mark Cummins & Michael Dowling & Vasileios Pappas, 2018. "A High-Frequency Analysis of Price Resolution and Pricing Barriers in Equities on the Adoption of a New Currency," Post-Print hal-01994666, HAL.

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