Munich Personal RePEc Archive

Distribution of Volume on the American Stock Market

Gurgul, Henryk and Mestel, Roland and Wójtowicz, Tomasz (2007): Distribution of Volume on the American Stock Market. Published in: Managerial Economics , Vol. 1, No. 1 (2007): pp. 143-163.

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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.

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