Market Closings and Concentration of Stock Trading: An Empirical Analysis

16 Pages Posted: 14 Apr 2014

See all articles by P. V. (Sundar) Balakrishnan

P. V. (Sundar) Balakrishnan

Univ. of Washington, Bothell

A. Steven Holland

University of Washington, Bothell - Business

James M. Miller

University of Washington, Bothell - Business

S. Gowri Shankar

University of Washington, Bothell School of Business

Date Written: January 15, 2013

Abstract

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 behavior and timing patterns.

Keywords: trading concentration; power law; weekend effect; Zipf distribution

JEL Classification: G10; H30; D10

Suggested Citation

Balakrishnan, P. V. (Sundar) and Holland, A. Steven and Miller, James M. and Shankar, S. Gowri, Market Closings and Concentration of Stock Trading: An Empirical Analysis (January 15, 2013). Applied Financial Economics, Vol. 23, No. 17, 2013. Available at SSRN: https://ssrn.com/abstract=2424509

P. V. (Sundar) Balakrishnan

Univ. of Washington, Bothell ( email )

18115 Campus Way NE
Bothell, WA 98011-8246
United States
4253525384 (Phone)

HOME PAGE: http://www.uwb.edu/business/faculty/sbalakrishnan

A. Steven Holland

University of Washington, Bothell - Business ( email )

18115 Campus Way NE
Bothell, WA 98011-8246
United States

HOME PAGE: http://www.bothell.washington.edu/bus/about/faculty/sholland.html

James M. Miller

University of Washington, Bothell - Business ( email )

18115 Campus Way NE
Bothell, WA 98011-8246
United States

S. Gowri Shankar (Contact Author)

University of Washington, Bothell School of Business ( email )

18115 Campus Way NE
Bothell, WA 98011-8246
United States

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