Are All Odd-Lots the Same? Odd-Lot Transactions by Order Submission and Trader Type
40 Pages Posted: 17 Jul 2013 Last revised: 19 Feb 2016
Date Written: February 19, 2016
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.
Keywords: odd-lots, high frequency trading, price contribution, price discovery
JEL Classification: G10, G14
Suggested Citation: Suggested Citation