Round‐number biases on trading time: Evidence from international markets
Tao Chen ()
Journal of Financial Research, 2021, vol. 44, issue 3, 469-495
In this article I investigate whether the round‐number heuristic affects investors' selection of trading time in the international market. I document the existence of round‐time biases, as evidenced by trading activities intensifying at second 0 of 1 min. Further examination suggests that the round‐time anomaly is likely driven by algorithmic trading from institutional investors. Consistent with this inference, I demonstrate that round‐time transactions carry value‐relevant information, have the predictive power for intraday‐level returns, and yield the positive daily trading revenue.
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jfnres:v:44:y:2021:i:3:p:469-495
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