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Market closings and concentration of stock trading: an empirical analysis

Author

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  • P. V. (Sundar) Balakrishnan
  • A. Steven Holland
  • James M. Miller
  • S. Gowri Shankar

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 behaviour and timing patterns.

Suggested Citation

  • P. V. (Sundar) Balakrishnan & A. Steven Holland & James M. Miller & S. Gowri Shankar, 2013. "Market closings and concentration of stock trading: an empirical analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 23(17), pages 1393-1398, September.
    • Handle: RePEc:taf:apfiec:v:23:y:2013:i:17:p:1393-1398
    DOI: 10.1080/09603107.2013.826873
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    Cited by:

    1. Dominik Metelski & Janusz Sobieraj, 2024. "Trading Volume Concentration across S&P 500 Index Constituents—A Gini-Based Analysis and Concentration-Driven (Daily Rebalanced) Portfolio Performance Evaluation: Is Chasing Concentration Profitable?," JRFM, MDPI, vol. 17(8), pages 1-25, July.
    2. S Gowri Shankar & James M Miller & P V (Sundar) Balakrishnan, 2020. "Evolutionary disruption of S&P 500 trading concentration: An intriguing tale of a financial innovation," PLOS ONE, Public Library of Science, vol. 15(3), pages 1-17, March.

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