Scandinavian Working Papers in Economics
Umeå Economic Studies,
Umeå University, Department of Economics
No 855: The Number of Shareholders - Time Series Modelling and Some Empirical Result
Kurt Brännäs ()
Additional contact information
Kurt Brännäs: Department of Economics, Umeå University, Postal: Department of Economics, Umeå University, S 901 87 Umeå, Sweden
Abstract: The paper discusses some model related issues for time series of the number of shareholders in a stock. The point of departure is an integer-valued autoregressive model of order one. Empirical results are presented for some frequently traded stocks on the Finnish and Swedish stock markets. In these stock markets public records of the number of owners are reported monthly (Finland) and quarterly (Sweden, and initially at biannual) intervals. The aggregate records are useful for, e.g., indirectly estimating average holding times, which are found to vary but to mostly exceed one year.
Keywords: Integer-valued; autoregression; nonlinear; holding time; stock; share
12 pages, January 28, 2013
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