کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
976211 933097 2012 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Temporal variations of serial correlations of trading volume in the US stock market
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Temporal variations of serial correlations of trading volume in the US stock market
چکیده انگلیسی

Serial correlations in the trading volume of the US stock market are investigated in this paper. The use of the detrended fluctuation analysis implemented within a rolling window indicated that, for the period 1929–2011, the strength of correlations exhibits important temporal variations with a trend shift by the 1990s, and 4-year and 21-year cycles. These empirical findings are compared to those obtained for mature international stock markets (FTSE-100 and Nikkei) and discussed in terms of potential economic and financial implications.


► Serial correlations in the trading volume for the US stock market are studied in this work.
► 4-year and 21-year cycles in the trading volume dynamics are detected.
► It is argued that these cycles are related to the effects of inventory (Kitchin) and investment (Kuznets) business waves.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 391, Issue 16, 15 August 2012, Pages 4128–4135
نویسندگان
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