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Round-number biases and informed trading in global markets
Tao Chen
2018-11
Source PublicationJournal of Business Research
ABS Journal Level3
ISSN0148-2963
Volume92Pages:105-117
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 Informed Trading Global Market Behavioral Finance
DOI10.1016/j.jbusres.2018.07.027
URLView the original
Indexed BySSCI
Language英語English
WOS Research AreaBusiness & Economics
WOS SubjectBusiness
WOS IDWOS:000446285000010
PublisherElsevier
Scopus ID2-s2.0-85050117687
Fulltext Access
Citation statistics
Document TypeJournal article
CollectionDEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding AuthorTao Chen
AffiliationUniversity of Macau
First Author AffilicationUniversity of Macau
Corresponding Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Tao Chen. Round-number biases and informed trading in global markets[J]. Journal of Business Research, 2018, 92, 105-117.
APA Tao Chen.(2018). Round-number biases and informed trading in global markets. Journal of Business Research, 92, 105-117.
MLA Tao Chen."Round-number biases and informed trading in global markets".Journal of Business Research 92(2018):105-117.
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