کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7383246 | 1480431 | 2018 | 29 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Odd-lot trading in U.S. equities
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We study odd-lot trades in U.S. Equities. NYSE- and NASDAQ-listed securities trade and report on various markets, and in this paper, we examine odd-lot activity in these venues. We also look at odd-lot trading on December 9, 2013, when odd-lot trades began reporting to the consolidated public tapes. We find a small increase in odd-lot trading occurring after odd-lot trades are reported to the consolidated tape, which is inconsistent with the belief that some odd-lot trades are larger trades broken up to avoid reporting to the consolidated tape. Odd-lot trades have disproportionately high cumulative price changes relative to the level of odd-lot trading. We also find a positive relation between odd-lot order imbalance and returns.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 69, August 2018, Pages 125-133
Journal: The Quarterly Review of Economics and Finance - Volume 69, August 2018, Pages 125-133
نویسندگان
Brian S. Roseman, Bonnie F. Van Ness, Robert A. Van Ness,