کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
976211 | 933097 | 2012 | 8 صفحه PDF | دانلود رایگان |

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.
Journal: Physica A: Statistical Mechanics and its Applications - Volume 391, Issue 16, 15 August 2012, Pages 4128–4135