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Dominik, Metelski ; Janusz, Sobieraj. (2024) Trading Volume Concentration across S&P 500 Index Constituents—A Gini-Based Analysis and Concentration-Driven (Daily Rebalanced) Portfolio Performance Evaluation: Is Chasing Concentration Profitable?.
In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:8:p:325-:d:1443830.
Full description at Econpapers
cites:
Gopikrishnan, Parameswaran, Vasiliki Plerou, Luis A. Nunes Amaral, Martin Meyer, and H. Eugene Stanley. 1999. Scaling of the distribution of fluctuations of financial market indices. Physical Review E 60: 5305. [CrossRef] [PubMed] Griffin, John M., Jeffrey H. Harris, Tao Shu, and Selim Topaloglu. 2011. Who drove and burst the tech bubble? The Journal of Finance 66: 1251–90. [CrossRef] Hagar, Nick, and Aaron Shaw. 2022. Concentration without cumulative advantage: The distribution of news source attention in online communities. Journal of Communication 72: 675–86. [CrossRef] Hashem, Nawar, and Larry Su. 2015. Industry concentration and the cross‑section of stock returns: Evidence from the UK. Journal of Business Economics and Management 16: 769–85. [CrossRef] Hegde, Shantaram P., and John B. McDermott. 2003. The liquidity effects of revisions to the S&P 500 index: An empirical analysis. Journal of Financial Markets 6: 413–59.
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