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

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  • Tao Chen

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.

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  • Tao Chen, 2021. "Round‐number biases on trading time: Evidence from international markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(3), pages 469-495, September.
    • Handle: RePEc:bla:jfnres:v:44:y:2021:i:3:p:469-495
    DOI: 10.1111/jfir.12247
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