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Round‐number biases on trading time: Evidence from international markets
Author(s) -
Chen Tao
Publication year - 2021
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/jfir.12247
Subject(s) - trading strategy , predictive power , pairs trade , inference , value (mathematics) , economics , yield (engineering) , revenue , algorithmic trading , alternative trading system , financial economics , econometrics , business , finance , computer science , mathematics , statistics , materials science , philosophy , epistemology , artificial intelligence , metallurgy
In this article I investigate whether the round‐number heuristic affects investors' selection of trading time in the international market. I document the existence of round‐time biases, as evidenced by trading activities intensifying at second 0 of 1 min. Further examination suggests that the round‐time anomaly is likely driven by algorithmic trading from institutional investors. Consistent with this inference, I demonstrate that round‐time transactions carry value‐relevant information, have the predictive power for intraday‐level returns, and yield the positive daily trading revenue.

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