Posted 23 June 2007 - 05:42 AM
Friday's volume extreme was due to the annual Russell reconstitution exercise, which was the most active ever.
Using Yahoo volume which includes trading volume for all exchanges, breaking the Russell 4000 (all US common Stocks included in the US Russell indices) in to four quartiles sorted by capitalization, here are the percentage deviations of each quartile's Friday volume versus their respective four year average volume:
Quartile One (largest cap): 61% above 4 year average volume
Quartile Two (next 1000 largest cap): 65% above four year average volume
Quartile Three (2001 thru 3000th largest cap): 359% above four year average volume
Quartile Four (smallest 1000 issues by cap): 222% above average of four year average volume
Looking more closely at the components accounting for the huge increase in volume for the smallest 2000 cap US common stocks, many were issues under $1 who were deleted from the Russell 2000 and Russell MicroCap indices.
As far as the record volume on the NYSE Friday, it depends on the data vendor, but according the Wall Street Journal NYSE volume, Friday's volume on the NYSE comes in 14th highest over the past 66+ years.
What effect Friday's high volume will have over the next one to two months? Of course volatility, but I wouldn't be betting the farm on a 10% to 20% crash in prices quite yet.
Randy N.