Long Memory in Stock-Market Trading Volume
Bibliographic Data
| ID | 19419552 |
|---|---|
| Authors | Ignacio N Lobato (0000-0001-7893-0564, Instituto Tecnológico Autónomo de México), Carlos Velasco (0000-0001-5913-0107, Universidad Carlos III de Madrid) |
| Year | 2000 |
| Volume | 18 |
| Issue | 4 |
| Pages | 410-427 |
| Publication date | 2000-10-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2000.10524881 |
| OpenAlex | W1994848727 |
| Language | EN |
| Citations received | 6 |
| References cited | 38 |
This article examines consistent estimation of the long-memory parameters of stock-market trading volume and volatility. The analysis is carried out in the frequency domain by tapering the data instead of detrending them. The main theoretical contribution of the article is to prove a central limit theorem for a multivariate two-step estimator of the memory parameters of a nonstationary vector process. Using robust semiparametric procedures, the long-memory properties of trading volume for the 30 stocks in the Dow Jones Industrial Average index are analyzed. Two empirical results are found. First, there is strong evidence that stock-market trading volume exhibits long memory. Second, although it is found that volatility and volume exhibit the same degree of long memory for most of the stocks, there is no evidence that both processes share the same long-memory component
Econometrics · Economics · Estimator · Financial economics · Long memory · Market microstructure · Multivariate statistics · Statistics · Stock market · Complex Systems and Time Series Analysis · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics · Finance
Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relation
The Effect of Long Memory in Volatility on Stock Market Fluctuations
Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume
Random walks, Hurst exponent, and market efficiency
Analyzing interrelated stochastic trend and seasonality on the example of energy trading data
Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics
A long memory property of stock market returns and a new model
The Estimation and Application of Long Memory Time Series Models
Gaussian Semiparametric Estimation of Long Range Dependence
Equity Trading Volume and Volatility
Endogenous Trading Volume and Momentum in Stock-Return Volatility
Pitfalls in the Use of Time as an Explanatory Variable in Regression
Real and Spurious Long-Memory Properties of Stock-Market Data
| Citations per year | 0.27 |
|---|---|
| Citation span | 2004 - 2025 (22) |
| Highly cited | No |