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The number of Shareholders: Time series modelling and some empirical results
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
2013 (English)Report (Other academic)
Abstract [en]

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.

Place, publisher, year, edition, pages
Umeå: Umeå universitet , 2013. , 11 p.
Series
Umeå economic studies, ISSN 0348-1018 ; 855
Keyword [en]
integer-valued, autoregression, nonlinear, holding time, stock, share
National Category
Economics
Research subject
Econometrics
Identifiers
URN: urn:nbn:se:umu:diva-65601OAI: oai:DiVA.org:umu-65601DiVA: diva2:604263
Projects
-
Available from: 2013-02-08 Created: 2013-02-08 Last updated: 2015-05-13Bibliographically approved

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fulltext(178 kB)70 downloads
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf