Does trading volume have a unit root?

Time series properties of daily trading volume are examined for 22 New York Stock Exchange (NYSE) firms. Previous studies have found that trading volume of certain financial assets have a unit root. The Phillips-Perron approach, which is robust to heteroskedasticity and non-normality, isused to test...

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Bibliographic Details
Published in:Applied economics letters 1995-05, Vol.2 (5), p.144-147
Main Authors: Darbar, Salim M., Deb, Partha
Format: Article
Language:English
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Summary:Time series properties of daily trading volume are examined for 22 New York Stock Exchange (NYSE) firms. Previous studies have found that trading volume of certain financial assets have a unit root. The Phillips-Perron approach, which is robust to heteroskedasticity and non-normality, isused to test the hypothesis of a unit root. There is strong evidence that daily volume is stationary around a linear trend. Also, for many stocks the deterministic trend is statistically significant. This result indicates the importance of appropriate detrending of trading volume before incorporating it in an economic model.
ISSN:1350-4851
1466-4291
DOI:10.1080/135048595357474