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Round-number biases and informed trading in global markets
Chen,Tao
2018-11-01
Source PublicationJournal of Business Research
ISSN01482963
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.

KeywordBehavioral Finance Global Market Informed Trading Round-number Bias
DOI10.1016/j.jbusres.2018.07.027
URLView the original
Language英语
WOS Research AreaBusiness & Economics
WOS SubjectBusiness
WOS IDWOS:000446285000010
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Cited Times [WOS]:4   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionDEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
AffiliationDepartment of Finance and Business Economics,Faculty of Business Administration,University of Macau,,Macao
First Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
Chen,Tao. Round-number biases and informed trading in global markets[J]. Journal of Business Research,2018,92:105-117.
APA Chen,Tao.(2018).Round-number biases and informed trading in global markets.Journal of Business Research,92,105-117.
MLA Chen,Tao."Round-number biases and informed trading in global markets".Journal of Business Research 92(2018):105-117.
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