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

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

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.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:jbfina:v:79:y:2017:i:c:p:1-11
    DOI: 10.1016/j.jbankfin.2017.02.010
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    References listed on IDEAS

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    2. Mila Getmansky & Ravi Jagannathan & Loriana Pelizzon & Ernst Schaumburg & Darya Yuferova, 2017. "Stock Price Crashes: Role of Slow-Moving Capital," NBER Working Papers 24098, National Bureau of Economic Research, Inc.
    3. Zhijuan Chen & William T. Lin & Changfeng Ma & Kent Wang, 2020. "Are individual investors liquidity providers around earnings announcements? Evidence from an emerging market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3447-3475, December.
    4. 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.
    5. 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.
    6. Chen, Zhijuan & Lin, William T. & Ma, Changfeng, 2019. "Do individual investors demand or provide liquidity? New evidence from dividend announcements," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    7. 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.
    8. Zhou, Hao & Kalev, Petko S., 2019. "Algorithmic and high frequency trading in Asia-Pacific, now and the future," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 186-207.

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