Scandinavian Working Papers in Economics

Umeå Economic Studies,
Umeå University, Department of Economics

No 860: The Number of Traded Shares: A Time Series Modelling Approach

Kurt Brännäs ()
Additional contact information
Kurt Brännäs: Department of Economics, Umeå School of Business and Economics, Postal: Umeå University, S 901 87 Umeå, Sweden

Abstract: 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.

Keywords: Integer-valued; INAR; Ownership; Trading volume; Stock; Nokia

JEL-codes: C22; C51; C58; G10; G32

8 pages, May 20, 2013

Full text files 

DownloadAsset.action...Id=3&assetKey=ues860 PDF-file

Download statistics

Questions (including download problems) about the papers in this series should be directed to David Skog ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2024-02-05 17:13:52.