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Measuring abnormal daily trading volume for samples of NYSE/ASE and NASDAQ securities using parametric and nonparametric test statistics |
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| Authors: | Cynthia J Campbell Charles E Wasley |
| Institution: | (1) U.S. Securities and Exchange Commission, 20549 Washington, DC, USA;(2) School of Management, University of Massachusetts at Amherst, 01003 Amherst, MA, USA;(3) Olin School of Business, Washington University, Campus Box 1133, 63130 St. Louis, MO, USA |
| 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. |
| Keywords: | parametric/nonparametric test statistics daily trading volume abnormal trading volume event studies |
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