Residential College | false |
Status | 已發表Published |
Round-number biases on trading time: Evidence from international markets | |
Tao Chen | |
2019 | |
Conference Name | The 3rd Sydney Banking and Financial Stability Conference 2019 |
Source Publication | proceedings of The 3rd Sydney Banking and Financial Stability Conference 2019 |
Conference Date | Wed, 27 - Fri, 29 Nov 2019 |
Conference Place | Sydney, 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. |
Keyword | Round-number Bias Behavioral Finance Global Market Informed Trading |
Language | 英語English |
Document Type | Conference paper |
Collection | Faculty of Business Administration DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS |
Corresponding Author | Tao Chen |
Affiliation | Department of Finance and Business Economics, Faculty of Business Administration, University of Macau, Macau |
First Author Affilication | Faculty of Business Administration |
Corresponding Author Affilication | Faculty 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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