Are all odd-lots the same? Odd-lot transactions by order submission and trader type

Hardy Johnson, Bonnie F. Van Ness and Robert A. Van Ness

Journal of Banking & Finance, 2017, vol. 79, issue C, 1-11

Abstract: We study odd-lot trading and determine if an odd-lot trade results from odd-lot orders or if odd-lots are a result of orders broken into multiple trades. We confirm that odd-lot transactions contribute to price discovery. Our finding that odd-lot transactions contain substantial information is not being driven by orders that are originally larger than 100 shares and subsequently divided into odd-lot transactions. We further find that odd-lot transactions resulting from odd-lot orders add more to price discovery than odd-lot transactions resulting from orders for 100 or more shares. Additionally, we find that more price contribution occurs when non-high frequency traders trade in an odd-lot transaction.

Date: 2017
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:79:y:2017:i:c:p:1-11

DOI: 10.1016/j.jbankfin.2017.02.010

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