P. V. (Sundar) Balakrishnan; Holland, A. Steven; … - In: Applied Financial Economics 23 (2013) 17, pp. 1393-1398
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...