Stock market trading activity and returns around milestones

George Aragon, Stephan Dieckmann

Research output: Contribution to journalArticlepeer-review

6 Scopus citations


We study the relation between daily stock market trading activity and the Dow Jones Industrial Average's (DJIA) movement around millenary milestones-numbers that end in three zeros. We find aggregate turnover to be 5% lower when the DJIA level is less than 1% away from the nearest milestone. The effect emerges as the DJIA approaches a milestone from below, and is stronger for first-time milestones compared to subsequent passages. The aggregate price impact is large, such that daily stock returns show a negative abnormal performance of ?. 10 basis points. Our findings suggest that millenary milestones of the DJIA play a role in some investors' decision making.

Original languageEnglish (US)
Pages (from-to)570-584
Number of pages15
JournalJournal of Empirical Finance
Issue number4
StatePublished - Sep 1 2011


  • Asset pricing anomaly
  • Milestone effect
  • Return predictability
  • Trading volume

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


Dive into the research topics of 'Stock market trading activity and returns around milestones'. Together they form a unique fingerprint.

Cite this