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Daily Share Price-changes For Eleven D-j Companies Over Five Three-month Periods And Short-term Pro?t-seeking

Author

Listed:
  • John Hartwick

Abstract

We link daily price-changes for 11 Dow-Jones companies for 5 three month periods to the prevailing interest rate. In "normal times", the interest carrying cost of owning a share exceeds average price change. In periods of high volatility (eg. August to November, 2008), average pricechange exceeds the interest carrying cost. We also observe considerable regularity across companies of volumes of shares traded per day and percentage price changes. The intercept differs across time periods (1995, 2006, 2007, 2008, 2010). Larger volumes yield larger price changes, on average.

Suggested Citation

  • John Hartwick, 2017. "Daily Share Price-changes For Eleven D-j Companies Over Five Three-month Periods And Short-term Pro?t-seeking," Working Paper 1395, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:1395
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    File URL: https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1395.pdf
    File Function: First version 2017
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    More about this item

    Keywords

    average share price changes; interest carrying-cost;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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