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The Number of Traded Shares: A Time Series Modelling Approach

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Author Info

  • Brännäs, Kurt

    ()
    (Department of Economics, Umeå School of Business and Economics)

Abstract

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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File URL: http://www.econ.umu.se/DownloadAsset.action?contentId=215613&languageId=3&assetKey=ues860
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Bibliographic Info

Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 860.

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Length: 8 pages
Date of creation: 20 May 2013
Date of revision:
Handle: RePEc:hhs:umnees:0860

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Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
Phone: 090 - 786 61 42
Fax: 090 - 77 23 02
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Web page: http://www.econ.umu.se/
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Related research

Keywords: Integer-valued; INAR; Ownership; Trading volume; Stock; Nokia;

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