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

See all articles by Hardy Johnson

Hardy Johnson

Kansas State University

Bonnie F. Van Ness

University of Mississippi - Department of Finance

Robert A. Van Ness

University of Mississippi - Department of Finance

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

Johnson, Hardy and Van Ness, Bonnie F. and Van Ness, Robert A., Are All Odd-Lots the Same? Odd-Lot Transactions by Order Submission and Trader Type (February 19, 2016). Available at SSRN: https://ssrn.com/abstract=2294727 or http://dx.doi.org/10.2139/ssrn.2294727

Hardy Johnson

Kansas State University ( email )

Manhattan, KS 66506-4001
United States

Bonnie F. Van Ness

University of Mississippi - Department of Finance ( email )

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

Robert A. Van Ness (Contact Author)

University of Mississippi - Department of Finance ( email )

Oxford, MS 38677
United States

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