How Index Volume Aggregates Constituent Share Trading
Summary
The document explains why multiplying each Dow Jones Industrial Average constituent’s share volume by its price does not reproduce the index’s reported volume. The reported measure is the sum of shares traded for the component stocks, counted on their respective primary listing markets. It is therefore a share-count aggregation rather than a dollar trading value or a price-weighted volume calculation.
A worked daily example lists constituent share counts and sums them to a total that closely matches a Bloomberg figure. The questioner’s Google Finance value differs, and the response does not identify why that source reports another number. The example also reflects the index membership and market conventions at that historical date; users should check a data provider’s definition, exchange coverage, and treatment of off-primary-market trades before comparing volume series.
Key ideas
- Index constituent volumes are aggregated as share counts, not price times shares.
- The described DJIA figure counts component trading on each stock’s primary market.
- The worked example’s sum aligns with one vendor’s reported value.
- Different data providers can show differing totals, and the response does not explain the discrepancy.
Tags
Full text
# How to compute the volume of an index from the volume of its constituents?
# How to compute the volume of an index from the volume of its constituents?
I'm trying to understand how to compute the daily volumes of the Dow Jones Industrial Average but I haven't found the proper formula yet.
I thought it was the sum of the price*volume of each constituent but the result doesn't match.
For example, on 2012-08-23 the last prices and volumes were:
```
Company | Volume | Price | Volume x Price
------------------- | ----------- | ------ | --------------
3M Co | 1 953 688 | 114,40 | 223 501 907
Alcoa | 11 141 890 | 8,05 | 89 692 215
American Express | 2 521 379 | 73,65 | 185 699 563
AT&T | 29 728 622 | 34,29 | 1 019 394 448
Bank of America | 67 699 182 | 14,57 | 986 377 082
Boeing | 3 017 610 | 105,48 | 318 297 503
Caterpillar | 4 487 260 | 83,89 | 376 436 241
Chevron | 4 682 301 | 119,53 | 559 675 439
Cisco Systems | 41 268 535 | 23,86 | 984 667 245
Du Pont de Nemours | 2 674 462 | 57,90 | 154 851 350
Exxon Mobil | 9 206 422 | 87,52 | 805 746 053
General Electric | 20 691 132 | 23,78 | 492 035 119
Hewlett-Packard | 22 069 135 | 22,40 | 494 348 624
Home Depot | 7 743 049 | 73,89 | 572 133 891
Intel | 23 088 692 | 22,44 | 518 110 248
IBM | 2 295 092 | 185,42 | 425 555 959
Johnson & Johnson | 7 714 990 | 88,41 | 682 082 266
JPMorgan Chase | 11 126 713 | 52,32 | 582 149 624
McDonald's | 12 274 162 | 95,13 | 1 167 641 031
Merck | 9 181 807 | 47,73 | 438 247 648
Microsoft | 225 493 737 | 34,75 | 7 835 907 361
Pfizer | 18 507 496 | 28,34 | 524 502 437
Procter & Gamble | 5 228 946 | 80,01 | 418 367 969
Coca-Cola | 11 303 083 | 38,52 | 435 394 757
Travelers Companies | 1 336 935 | 80,19 | 107 208 818
United Technologies | 2 608 836 | 102,80 | 268 188 341
UnitedHealth Group | 3 218 469 | 72,54 | 233 467 741
Verizon | 6 779 268 | 47,61 | 322 760 949
Wal-Mart | 5 475 169 | 73,44 | 402 096 411
Walt Disney | 5 510 670 | 61,73 | 340 173 659
| | |
Total | | | 21 964 711 900
```
But the DJIA volume for this day was actually 131 855 227:
https://www.google.com/finance/historical?cid=983582&startdate=Aug+19%2C+2013&enddate=Aug+26%2C+2013
So what is the right formula?
## Answer by assylias (score 5, accepted)
https://quant.stackexchange.com/a/8855
The volume reported for the DJIA is the sum of the volumes (in shares) of the individual components, including trades executed on their respective primary markets only.
For the 23rd of August, it looks like:
```
Ticker Exchange Shares Traded
MMM New York 496,789
AA New York 2,400,280
AXP New York 613,379
T New York 4,886,455
BAC New York 12,040,541
BA New York 750,949
CAT New York 1,456,577
CVX New York 1,386,990
CSCO NASDAQ GS 10,916,222
KO New York 2,786,460
DD New York 780,407
XOM New York 2,357,309
GE New York 5,896,019
HPQ New York 5,304,441
HD New York 2,399,417
INTC NASDAQ GS 7,082,188
IBM New York 593,065
JNJ New York 1,839,555
JPM New York 2,302,471
MCD New York 876,265
MRK New York 3,387,386
MSFT NASDAQ GS 48,203,961
PFE New York 4,478,299
PG New York 1,475,610
TRV New York 269,658
UTX New York 832,110
UNH New York 968,481
VZ New York 1,704,463
WMT New York 1,443,304
DIS New York 1,971,379
Total 131,900,430
```
Also note that the volume for the DJIA as reported on Bloomberg is 131,900,430 for that day - not sure where google is getting the number from.Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.