Odd-Lot Trading in U.S. Equities

29 Pages Posted: 28 Aug 2015 Last revised: 14 Dec 2018

See all articles by Brian Roseman

Brian Roseman

Oklahoma State University - Department of Finance

Bonnie F. Van Ness

University of Mississippi - Department of Finance

Robert A. Van Ness

University of Mississippi - Department of Finance

Date Written: June 23, 2016

Abstract

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.

Keywords: odd-lot trading, exchanges

JEL Classification: G10, G14

Suggested Citation

Roseman, Brian and Van Ness, Bonnie F. and Van Ness, Robert A., Odd-Lot Trading in U.S. Equities (June 23, 2016). Quarterly Review of Economics and Finance, Vol. 69, 2018, Available at SSRN: https://ssrn.com/abstract=2651975 or http://dx.doi.org/10.2139/ssrn.2651975

Brian Roseman

Oklahoma State University - Department of Finance ( email )

Spears School of Business
Stillwater, OK 74078
United States

Bonnie F. Van Ness (Contact Author)

University of Mississippi - Department of Finance ( email )

Oxford, MS 38677
United States
662-915-6749 (Phone)
662-915-7968 (Fax)

Robert A. Van Ness

University of Mississippi - Department of Finance ( email )

Oxford, MS 38677
United States

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