Direct Evidence of Non-Trading of NYSE and AMEX Stocks
This paper documents the frequency of non-trading for NYSE and AMEX stocks based on information in the CRSP monthly and daily data files. We find a declining pattern of non-trading over the 1926 to 1990 period: 23.4 percent of NYSE stocks do not trade on an average (end-of-month) day during the 1926 to 1945 period, compared with 1.29 percent on average over all days during the 1973-1990 period. In the 1973-1990 period, non-trading averaged more than 15 percent for AMEX firms. We find that the average amount of non-trading is larger for smaller stocks, is lowest at the end of the year, and tends to be lowest at the beginning of the week and is highest at the end of the week. We also find substantial heterogeneity in the amount of non-trading across the stocks within each size decile. For example, while 10 percent of the stocks in the smallest decile trade virtually every trade day, 10 percent of the stocks in that decile do not trade on 51 percent of the trade days during the year, and one percent do not trade on 76 percent of the trade days during the year. Finally, we briefly discuss some implications of our non-trading evidence for measured autocorrelations.
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