Hi Nathan E.,

Thank you for your comments, it is nice to know that there is accord with my thinking out in the information sea.

How is the information calculated?

1. The World Bank provides its data as total annual turnover for a nation's stock markets. So, for example, in the U.S. we have the 404.7% turnover of 2008.

2. Next, I have assumed that, just as returns are assumed to be random when we calculate compound annual returns, volumes that generate those returns must also be random. This assumption results in adjusting the turnover data for Brownian Motion. In finance terms that is simply the familiar ^1/n adjustment made to a compounded number to account for random movement of returns through time.

3. Given the above assumption we have to discount the annual 404.7% turnover back to a daily turnover figure. The calculation is:

4. [ (1 + annual turnover) ^ (1 / average number of trading days in a year) ] - 1 = daily turnover; [ (1 + 4.047) ^ (1 / 251.6165) ] - 1 = 0.006454316 = 0.64%

As for the 0.35% number, that is simply the average of the 8 markets featured above. So it is the average across markets and not an intermarket figure. In other words, it is not based on total global trading volume divided by total global shares outstanding. I do not have data about absolute volumes or shares in individual markets. Taking the straight average across markets can be justified though because I am trying to demonstrate the size of "Mr. Market" and trading volume magnitudes in South Africa are probably highly correlated with others. If I had calculated based on intermarket activity it would give undue weight to the larger markets.

Hope that helps in your understanding.

With smiles!

Jason

PS - Thanks to all others that have made suggestions. As CFA Institute is a non-profit my access to data and other resources is largely restricted to those publicly available. So I cannot follow the lines of inquiry you have all graciously suggested.