Table 1.
Average daily trading volume of S&P 500 stocks and non-S&P 500 stocks and the trading volume of the top quintile of stocks in each group, for select years from 1960 to 2018.
Fig 1.
Percentage share of the top quintile of stocks in the total trading volume of S&P 500 and non-S&P 500 stocks, 1960 to 2018.
Fig 2.
Annual averages of the daily Trading Concentration Indices (power low exponents) for S&P 500 stock portfolios and non-S&P 500 stock portfolios, 1960 to 2018.
Fig 3.
Different between the annual averages of the daily Trading Concentration Indices for S&P 500 and non-S&P 500 portfolios, 1960 to 2018.
Fig 4.
Annual averages of daily Trading Concentration Indices (TCI) for all stocks, top 500 stocks, random500 stocks, S&P 500 stocks, and non-S&P 500 stocks portfolios, 1960 to 2018.
Table 2.
Regression slope estimates of Trading Concentration Indices against calendar time for different stock portfolios, 1960 to 2018.
Table 3.
Comparison of regression fit measures for segmented regression and simple linear regression models, with Trading Concentration Indices modelled against calendar time from 1960 to 2018.
In the segmented regression, the dummy variable has a value of ‘0’ from 1960 to 1975 and ‘1’ from 1976 to 2018.
Fig 5.
Annual averages of the daily Trading Concentration Indices for the distribution of S&P 500 trading volumes and S&P 500 market capitalizations.