You can't always get what you want: Trade-size clustering and quantity choice in liquidity

• 成果类型: Article
• 署名作者: Moulton, PC
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.10.007
• 发表日期: 2005
• 页码: 89-119
• 关键词: liquidity; trade-size clustering; round lots; odd lots; Foreign exchange

摘要

This paper examines whether investors care more about trading their exact quantity demands at some times than at others. Using a new data set of foreign exchange transactions, I find that customers trade more precise quantities at quarter-end, as evidenced by less trade-size clustering. Customers trade more odd lots and fewer round lots, while the number of trades and total volume are not significantly changed. I also find that the price impact of order flow is greater when customers care more about trading precise quantities. This work sheds new light on trade-size clustering and offers a potential explanation for time-series and cross-sectional variation in common liquidity measures. (c) 2005 Elsevier B.V. All rights reserved.