What's Not There: Odd Lots and Market Data

• 成果类型: Article
• 署名作者: O'Hara, Maureen; Yao, Chen; Ye, Mao
• 署名单位: Cornell University; University of Warwick; University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12185
• 发表日期: 2014
• 页码: 2199-2236
• 关键词: ORDER IMBALANCE; TRADE-SIZE; FLOW TOXICITY; STOCK; liquidity; INFORMATION; volatility

摘要

We investigate odd-lot trades in equity markets. Odd lots are increasingly used in algorithmic and high-frequency trading, but are not reported to the consolidated tape or in databases such as TAQ. In our sample, the median number of odd-lot trades is 24% but in some stocks odd lots are 60% or more of trading. Odd-lot trades contribute 35% of price discovery, consistent with informed traders using odd lots to avoid detection. Omitting odd-lot trades leads to inaccuracies in order imbalance measures and makes sentiment measures unreliable. Excluding odd lots from the consolidated tape raises important regulatory issues.