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Round-number biases on trading time: Evidence from international markets
Tao Chen
2019
Conference NameThe 3rd Sydney Banking and Financial Stability Conference 2019
Source Publicationproceedings of The 3rd Sydney Banking and Financial Stability Conference 2019
Conference DateWed, 27 - Fri, 29 Nov 2019
Conference PlaceSydney, Australia
Abstract

This paper investigates whether informed trading matters to round-number biases. We document the global presence of round-number biases by showing excessive buying (selling) pressure immediately below (above) a rounded threshold. Additionally, we demonstrate that trades surrounding 0-ending prices are likely to be initiated by informed traders who tend to buy (sell) at 9-ending (1-ending) prices. Moreover, small-sized (medium-sized) trades with 1-ending or 9-ending prices are revealed to be more informative and conducted persistently. Collectively, these findings seem to suggest that informed investors strategically engage in stealth trading by leveraging round-number biases of liquidity traders, which indirectly drives this anomaly in global markets.

KeywordRound-number Bias Behavioral Finance Global Market Informed Trading
Language英語English
Document TypeConference paper
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding AuthorTao Chen
AffiliationDepartment of Finance and Business Economics, Faculty of Business Administration, University of Macau, Macau
First Author AffilicationFaculty of Business Administration
Corresponding Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
Tao Chen. Round-number biases on trading time: Evidence from international markets[C], 2019.
APA Tao Chen.(2019). Round-number biases on trading time: Evidence from international markets. proceedings of The 3rd Sydney Banking and Financial Stability Conference 2019.
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