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 ()
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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

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