Temporal variations of serial correlations of trading volume in the US stock market

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.