小交易,大问题:零碎股份

IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE Journal of Financial Economics Pub Date : 2024-05-28 DOI:10.1016/j.jfineco.2024.103836
Robert P. Bartlett , Justin McCrary , Maureen O'Hara
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引用次数: 0

摘要

本文对零碎股票交易进行了研究。我们开发了一种基于延迟的方法,用于识别大量的零碎股票交易样本。我们发现,高价股、meme 股、IPO、SPAC 和流行的散户股票都有相当数量的小额交易。我们推测,这反映了以美元为基础的订单输入,许多小额交易都是大订单的零散组成部分。我们的研究表明,我们的零碎交易衡量标准可以预测未来的流动性和波动性,从而提出了一种捕捉散户交易信息的新衡量标准。我们确定了数据和报告协议是如何阻碍了解零散份额交易的程度、夸大交易量数据以及提供这些场外交易的审查样本的。
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Tiny trades, big questions: Fractional shares

This paper investigates fractional share trading. We develop a latency-based method for identifying a large sample of fractional share trades. We find that high-priced stocks, meme stocks, IPOs, SPACs, and popular retail stocks exhibit considerable numbers of these tiny trades. We surmise that this reflects dollar-based order entry, with many tiny trades being fractional components of larger orders. We show that our fractional trade measure is predictive of future liquidity and volatility, suggesting a new metric to capture the information in retail trades. We identify how data and reporting protocols preclude knowing the extent of fractional share trading, inflate volume data, and provide censured samples of these off-exchange trades.

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来源期刊
CiteScore
15.80
自引率
4.50%
发文量
192
审稿时长
37 days
期刊介绍: The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.
期刊最新文献
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