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Odd Lot Trades: The Behavior, Characteristics, and Information Content, Over Time

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  • Hardy Johnson

Abstract

I investigate the role odd lot trades play in equity markets, and how this role changes over four periods: 2005, 2007, 2010, and 2012. In each of these years, I examine the determinants, price contribution, and characteristics of odd lot trading. I find that odd lot proportions are increasing, but the determinants of the proportions remain consistent. I find that odd lot transactions contribute to price formation, this contribution is in excess of the odd lot proportion of volume, and is increasing over time. An intraweek pattern of odd lot trading exists with Monday having the highest proportions.

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  • Hardy Johnson, 2014. "Odd Lot Trades: The Behavior, Characteristics, and Information Content, Over Time," The Financial Review, Eastern Finance Association, vol. 49(4), pages 669-684, November.
    • Handle: RePEc:bla:finrev:v:49:y:2014:i:4:p:669-684
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    File URL: http://hdl.handle.net/10.1111/fire.12052
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    Cited by:

    1. Davis, Ryan L. & Roseman, Brian S. & Van Ness, Bonnie F. & Van Ness, Robert, 2017. "1-share orders and trades," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 109-117.
    2. Qin Wang & Jun Zhang, 2016. "Trade Size Clustering In The E-Mini Index Futures Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(3), pages 247-262, September.
    3. Ramos, Henrique P. & Perlin, Marcelo S. & Righi, Marcelo B., 2017. "Mispricing in the odd lots market in Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 618-628.
    4. Hardy Johnson & Brian Roseman, 2017. "Odd Lot Order Aggressiveness And Stealth Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(2), pages 249-281, June.
    5. Kupfer, Alexander & Schmidt, Markus G., 2021. "In search of retail investors: The effect of retail investor attention on odd lot trades," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 315-326.
    6. Ryan L. Davis & Stephen N. Jurich & Brian S. Roseman & Ethan D. Watson, 2018. "Short-Sale Restrictions and Price Clustering: Evidence from SEC Rule 201," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(3), pages 345-367, December.
    7. Roseman, Brian S. & Van Ness, Bonnie F. & Van Ness, Robert A., 2018. "Odd-lot trading in U.S. equities," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 125-133.
    8. Hardy Johnson & Ansley Chua & Tianming Zhang, 2018. "Odd lot trading and earnings announcements," Review of Quantitative Finance and Accounting, Springer, vol. 51(2), pages 529-551, August.
    9. Johnson, Hardy & Van Ness, Bonnie F. & Van Ness, Robert A., 2017. "Are all odd-lots the same? Odd-lot transactions by order submission and trader type," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 1-11.
    10. Doan, Bao & Vo, Duc Hong, 2021. "Is there any information content of traded stocks in an emerging market? Evidence from Vietnam," International Economics, Elsevier, vol. 167(C), pages 78-87.

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