IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Direct Evidence of Non-Trading of NYSE and AMEX Stocks

Listed author(s):
  • Stephen R. Foerster
  • Donald B. Keim

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.

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Paper provided by Wharton School Rodney L. White Center for Financial Research in its series Rodney L. White Center for Financial Research Working Papers with number 19-93.

in new window

Date of creation:
Handle: RePEc:fth:pennfi:19-93
Contact details of provider: Postal:
3254 Steinberg Hall-Dietrich Hall, Philadelphia, PA 19104-6367

Phone: (215) 898-7616
Fax: (215) 573-8084
Web page:

More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:fth:pennfi:19-93. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.