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Abstract
Time series properties of daily trading volume are examined for 22 New York Stock Exchange (NYSE) firms. Previous studies have found that trading volume of certain financial assets have a unit root. The Phillips-Perron approach, which is robust to heteroskedasticity and non-normality, isused to test the hypothesis of a unit root. There is strong evidence that daily volume is stationary around a linear trend. Also, for many stocks the deterministic trend is statistically significant. This result indicates the importance of appropriate detrending of trading volume before incorporating it in an economic model.