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Odd Lot Trades: The Behavior, Characteristics, and Information Content, Over Time
Author(s) -
Johnson Hardy
Publication year - 2014
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/fire.12052
Subject(s) - equity (law) , volume (thermodynamics) , econometrics , economics , business , financial economics , monetary economics , physics , quantum mechanics , political science , law
I investigate the role odd lot trades play in equity markets, and how this role changes over four periods: 2005, 2007, 2010, and 2012. In each of these years, I examine the determinants, price contribution, and characteristics of odd lot trading. I find that odd lot proportions are increasing, but the determinants of the proportions remain consistent. I find that odd lot transactions contribute to price formation, this contribution is in excess of the odd lot proportion of volume, and is increasing over time. An intraweek pattern of odd lot trading exists with Monday having the highest proportions.