Year: 2007
Type: report
Abstract: This paper reviews previous contributions to trading volume theory and investigates the statistical properties of stock returns and trading volume using stock data of American companies included in the DJIA segment. Results are presented on a daily returns and volumes data basis for the whole period August 1997 to October 2004 and two subperiods (August 1997−February 2001; March 2001−October 2004). It turns out that NIG and hyperbolic distribution describes the log-volume and stock returns in the best way, in case of stock returns, this is in accordance with results from the literature.
Authors: Henryk Gurgul, Roland Mestel, Tomasz Wójtowicz
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W120112506