ISSN:
1573-7179
Keywords:
rejection frequencies
;
cross-sectional
;
nonnormality
;
near-normality
;
volume
Source:
Springer Online Journal Archives 1860-2000
Topics:
Economics
Notes:
Abstract This paper examines issues pertinent to using number of transactions in event-type studies of market trading response. It presents rejection frequencies for portfolios of 20, 50, and 100 observations corresponding to different abnormal trading measures and test approaches. Findings include: (1) A cross-sectionalt-statistic approach performs almost as well as more elaborate test approaches and is robust to nonnomality in the number of transactions distribution; (2) a logarithmic transformation induces near-normality in the number of transactions distribution; and (3) for equal induced percentage increases in trading, rejection rates for number of transactions exceed those for percentage of outstanding shares trades (i.e., volume). The advantage of transactions over volume is relatively more important for small sample studies (e.g.,n〈100) and those with small average increases in trading activity.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF01075176
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