Residential College | false |
Status | 已發表Published |
Round-number biases and informed trading in global markets | |
Tao Chen | |
2018-11 | |
Source Publication | Journal of Business Research |
ABS Journal Level | 3 |
ISSN | 0148-2963 |
Volume | 92Pages: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. |
Keyword | Round-number Bias Informed Trading Global Market Behavioral Finance |
DOI | 10.1016/j.jbusres.2018.07.027 |
URL | View the original |
Indexed By | SSCI |
Language | 英語English |
WOS Research Area | Business & Economics |
WOS Subject | Business |
WOS ID | WOS:000446285000010 |
Publisher | Elsevier |
Scopus ID | 2-s2.0-85050117687 |
Fulltext Access | |
Citation statistics | |
Document Type | Journal article |
Collection | DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS |
Corresponding Author | Tao Chen |
Affiliation | University of Macau |
First Author Affilication | University of Macau |
Corresponding Author Affilication | University 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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