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The Number of Shareholders - Time Series Modelling and Some Empirical Result

Author

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  • Brännäs, Kurt

    (Department of Economics, Umeå University)

Abstract

The paper discusses some model related issues for time series of the number of shareholders in a stock. The point of departure is an integer-valued autoregressive model of order one. Empirical results are presented for some frequently traded stocks on the Finnish and Swedish stock markets. In these stock markets public records of the number of owners are reported monthly (Finland) and quarterly (Sweden, and initially at biannual) intervals. The aggregate records are useful for, e.g., indirectly estimating average holding times, which are found to vary but to mostly exceed one year.

Suggested Citation

  • Brännäs, Kurt, 2013. "The Number of Shareholders - Time Series Modelling and Some Empirical Result," Umeå Economic Studies 855, Umeå University, Department of Economics.
    • Handle: RePEc:hhs:umnees:0855
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    More about this item

    Keywords

    Integer-valued; autoregression; nonlinear; holding time; stock; share;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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