O'Hara, Maureen, Yao, Chen and Ye, Mao (2014) What's not there : odd lots and market data. The Journal of Finance , Volume 69 (Number 5). pp. 2199-2236. doi:10.1111/jofi.12185 ISSN 0022-1082.

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Abstract

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.

Item Type:	Journal Article
Divisions:	Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School
Journal or Publication Title:	The Journal of Finance
Publisher:	Wiley-Blackwell Publishing, Inc.
ISSN:	0022-1082
Official Date:	October 2014
Dates:	Date Event October 2014 Published 25 June 2014 Available 10 January 2014 Accepted 23 January 2013 Submitted
Volume:	Volume 69
Number:	Number 5
Page Range:	pp. 2199-2236
DOI:	10.1111/jofi.12185
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access

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