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Date:   Mon, 11 Apr 2011 10:49:05 -0400
Reply-To:   Haigang Zhou <haigang.zhou@GMAIL.COM>
Sender:   "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From:   Haigang Zhou <haigang.zhou@GMAIL.COM>
Subject:   Question on statistical/econometric modeling

Dear SASLers,

I need help with identifying an econometric model to analyze the following data. Any help will be greatly appreciated.

Two examples that may be similar to my research question: how consumers splits their total cereal spending among a few major brands, or how charitable donors spread their donations among a few of their favorite organizations.

Here is my research question: I have a sample of companies that list their stocks on multiple stock exchanges (totally eight exchanges). Some list on two of the eight exchanges, some list on three of the eight exchanges, while others list on four, five, or even six of the eight exchanges. Everyday, shares of the same company trade on multiple exchanges, and every exchange gets a piece of the pie, i.e., total shares traded. Naturally the size of the piece varies among the exchanges. For example, Exchange 1 on average accounts for 80% of the total shares traded, while Exchange 8 only account for 5%. I want to find out what factors are determining the distribution of total shares traded among multiple stock exchanges. My difficulty is which econometric model should be used for the analysis.

In addition to the following data, I have also collected data on a large number of independent variables.

Company Origin Year Exch1 VS1 Exch2 VS2 Exch3 VS3 1 A 1990 US 60 JP 40 1 A 1991 US 58 JP 42 2 A 1990 JP 30 UK 70 2 A 1991 JP 45 UK 55 3 B 1990 FR 30 CA 30 US 40 3 B 1991 FR 33 CA 36 US 31 ....

Note: Exchx - name of exchange x where a firm list its shares VSx - Volume share of exchange x where a firm list its shares

Thank you for your time.

Haigang


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