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Measuring abnormal daily trading volume for samples of NYSE/ASE and NASDAQ securities using parametric and nonparametric test statistics

  • Cynthia J. Campbell
  • Charles E. Wasley
Article

Abstract

We extend prior research on the empirical properties of daily trading volume and methods to detect abnormal trading volume in two ways. We compare the performance of a nonparametric test statistic with the parametric test statistic used in prior research and we study samples of NASDAQ securities as well as samples of NYSE/ASE securities. Prior research has focused exclusively on NYSE securities. We find the nonparametric test statistic is more powerful in detecting abnormal trading volume than the parametric test statistic in both samples of NYSE/ASE and NASDAQ securities. We also document that abnormal trading volume will be detected more often in samples of NYSE/ASE securities compared to NASDAQ securities.

Key words

parametric/nonparametric test statistics daily trading volume abnormal trading volume event studies 

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Copyright information

© Kluwer Academic Publishers 1996

Authors and Affiliations

  • Cynthia J. Campbell
    • 1
    • 2
  • Charles E. Wasley
    • 3
  1. 1.U.S. Securities and Exchange CommissionWashington, DCUSA
  2. 2.School of ManagementUniversity of Massachusetts at AmherstAmherstUSA
  3. 3.Olin School of BusinessWashington UniversitySt. LouisUSA

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