The Number of Traded Shares: A Time Series Modelling Approach
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.
|Date of creation:||20 May 2013|
|Date of revision:|
|Contact details of provider:|| Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden|
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