Unchanged-issue share as a narrow-breadth case study

A comparable quiet-tape threshold

Unchanged-issue share is the fraction of listed names that close at the prior session price, read as a breadth condition rather than as idle tape.

An observed count of more than 500 unchanged listed issues was converted to a 25.5 percent share so the same quiet-tape threshold could be compared across listing universes of different size.

From 1958 through 1974, no session on the exchange studied recorded an unchanged-issue share as high as 25.5 percent. From 1926 through 31 August 1989, 2832 of 17150 sessions met the 25.5 percent unchanged threshold.

Quiet sessions arrived in unchanged-clusters

An unchanged-cluster is a run of high-unchanged sessions in which no two qualifying days are separated by more than a fixed gap. The archive defined that gap as 25 days, and the resulting runs often lasted 100 sessions or more.

More than three-quarters of the sessions that met the 25.5 percent threshold fell inside unchanged-clusters lasting 100 days or more.

One late-1980s unchanged-cluster contained 200 qualifying days between 27 April 1988 and 31 August 1989. The longest recorded clusters ran from 1939 to 1945 and from 1951 to 1954, both wartime market episodes.

Thinner participation on large average moves

Advance-participation is the share of listed names that close higher when the industrial average itself is up by a stated percentage band. Decline-participation is the share that close lower when the average is down by a stated percentage.

On industrial-average advances of 2 percent or more, historical advance-participation averaged 66.4 percent, versus 61.7 percent from the start of 1988. For gains of 1 to 2 percent the winner share fell from a historical 57.8 percent to 50.7 percent in 1988-89, the lowest such tendency since 1926.

On industrial-average declines of 2 percent, 1988-89 produced 68.3 percent losers versus a historical average of 71.3 percent, consistent with price movement in both directions being confined to a restricted set of names. That tape is narrow-leadership: benchmark swings carried by a restricted set of names while a large remainder posts no net change.

Two contemporaneous explanations

Two contemporaneous explanations were offered for the thinner participation: special-event activity moving the average without broadly affecting the remaining list, and greater short-term price stability in a broader, more liquid market.