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Journal of Banking and Finance



  1. Hardy Johnson
  2. Bonnie F. Van Ness
  3. Robert A. Van Ness


    2. BANKING


      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.


      Vol 79, Tahun 2017


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