TRADING PATTERNS OF SMALL AND LARGE TRADERS AROUND STOCK SPLIT EX‐DATES

Lawrence Kryzanowski and Hao Zhang

Journal of Financial Research, 1996, vol. 19, issue 1, 75-90

Abstract: We investigate the trading patterns of small and large traders around stock split ex‐dates. Using the intraday transaction database for the Toronto Stock Exchange during 1983–89, we find that stock splits are associated with significant changes in trading patterns. Although stock splits appear to have little effect on the trading behavior of large traders (trade value of at least $100,000), they are associated with significant decreases in odd‐lot trading and increases in small board‐lot trading (trade value of less than $10,000). Although the liquidity premia decrease for all trade sizes, trade direction changes significantly from sell to buy after split ex‐dates for all but the large trades, where the change is in the opposite direction. The significant increase in variances after split ex‐dates is explained by various microstructure‐related variables, and small (large) trades appear to be (de)stabilizing.

Date: 1996
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