Round‐number biases on trading time: Evidence from international markets

Tao Chen

Journal of Financial Research, 2021, vol. 44, issue 3, 469-495

Abstract: 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.

Date: 2021
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https://doi.org/10.1111/jfir.12247

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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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