Market closings and concentration of stock trading: an empirical analysis

We adopt a power law framework to measure the concentration of daily trading among the different stocks on the US market. Our analysis of the trends of daily concentration over the last five decades reveals that trading concentration is lower on Mondays and the day after a long weekend. These findin...

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Bibliographic Details
Published in:Applied financial economics 2013-09, Vol.23 (17), p.1393-1398
Main Authors: Balakrishnan, P. V. (Sundar), Holland, A. Steven, Miller, James M., Shankar, S. Gowri
Format: Article
Language:English
Subjects:
Capital concentration
Industrial concentration
Insider dealing
Market timing
Organizational behavior
power law
Securities markets
Securities trading
Stock exchange
Studies
Traders
trading concentration
U.S.A
weekend effect
Zipf distribution
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Summary:We adopt a power law framework to measure the concentration of daily trading among the different stocks on the US market. Our analysis of the trends of daily concentration over the last five decades reveals that trading concentration is lower on Mondays and the day after a long weekend. These findings are supportive of the hypothesis that firms manage information release. We also find lower concentration at the end of December and in January. The results are consistent with our expectations for a stock market that comprises multiple groups of traders with unique trading behaviour and timing patterns.
ISSN:0960-3107
1466-4305
DOI:10.1080/09603107.2013.826873