Odd-Lot Trading Activity and Nominal Stock Price
57 Pages Posted: 8 Sep 2020 Last revised: 5 Aug 2021
Date Written: July 24, 2020
We examine the rising of odd-lot trading activity and nominal stock prices in recent years. We find that odd-lot trading activity is positively associated with nominal stock price, on both cross-sectional and time-series basis. After a stock split (reverse split), the odd-lot trading activity decreases (increases) significantly. The positive relationship between odd-lot trading activity and nominal stock price holds for both common stocks and ETFs, and for retail investor trades. For higher priced stocks, there is a higher percentage of odd-lot trades with transaction price occurring within NBBOs.
Keywords: Odd-lot trade, nominal stock price, stock splits, NBBO
JEL Classification: G12, G14
Suggested Citation: Suggested Citation