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Question of the Week - Dec 8th 2015

How does trading volume change across days of the week?

 

Chart 1:  Historical Volume Patterns for the Constituents of the Russell 1000 by Day of the Week  

 

Chart 2:  Historical Trend of US Peer Volumes by Day of the Week  

  • We wanted to see if any one day of the week consistently demonstrated higher trading volumes for both the market as a whole and institutional investors specifically.
  • The constituents of the Russell 1000 show a slight increasing trend in volume as the week progresses.
  • Observed trading patterns pulled from ITG Peer Group Database show an uptick of volume occurring on Friday.”

 

Russell 1000 constituent dollar volume for a weekday was aggregated across weeks within a quarter, eliminating 1/2 days and normalized for the number of weekdays in a quarter. Institutional volume by weekday was based on ITG Peer Group Database which contains order-level information from approximately 180 buy-side institutions. Institutional client turnover was also aggregated across weeks within a quarter, eliminating 1/2 days and normalized for the number of weekdays in a quarter. Weekday turnover percentages within a quarter add up to 100%.

 

Refer to ITG Peer Analytics for information on available ITG Peer Group Database based analytics.

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