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Direct Evidence of Non-Trading of NYSE and AMEX Stocks

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  • Stephen R. Foerster
  • Donald B. Keim

Abstract

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.

Suggested Citation

  • Stephen R. Foerster & Donald B. Keim, "undated". "Direct Evidence of Non-Trading of NYSE and AMEX Stocks," Rodney L. White Center for Financial Research Working Papers 19-93, Wharton School Rodney L. White Center for Financial Research.
  • Handle: RePEc:fth:pennfi:19-93
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    Cited by:

    1. Lo, Andrew W. & Craig MacKinlay, A., 1990. "An econometric analysis of nonsynchronous trading," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 181-211.
    2. Michael R. King, 2009. "Prebid Run-Ups Ahead of Canadian Takeovers: How Big Is the Problem?," Financial Management, Financial Management Association International, vol. 38(4), pages 699-726, December.
    3. Sias, Richard W. & Starks, Laura T., 1997. "Return autocorrelation and institutional investors," Journal of Financial Economics, Elsevier, vol. 46(1), pages 103-131, October.
    4. G.S Morgan & Peter N. Smith & S.H. Thomas, "undated". "Portfolio return autocorrelation and non-synchronous trading in UK equities," Discussion Papers 00/46, Department of Economics, University of York.
    5. John M.R. Chalmers & Roger M. Edelen & Gregory B. Kadlec, "undated". "The wildcard option in transaction mutual-fund shares," Rodney L. White Center for Financial Research Working Papers 25-99, Wharton School Rodney L. White Center for Financial Research.
    6. Joanna Olbrys & Elzbieta Majewska, 2014. "Implications of market frictions: serial correlations in indexes on the emerging stock markets in Central and Eastern Europe," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 1, pages 51-70.
    7. John M.R. Chalmers & Roger M. Edelen & Gregory B. Kadlec, 1999. "The Wildcard Option in Transacting Mutual-Fund Shares," Center for Financial Institutions Working Papers 00-03, Wharton School Center for Financial Institutions, University of Pennsylvania.

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