Abstract
In this article I investigate whether the round-number heuristic affects investors' selection of trading time in the international market. I document the existence of round-time biases, as evidenced by trading activities intensifying at second 0 of 1 min. Further examination suggests that the round-time anomaly is likely driven by algorithmic trading from institutional investors. Consistent with this inference, I demonstrate that round-time transactions carry value-relevant information, have the predictive power for intraday-level returns, and yield the positive daily trading revenue.
| Original language | English |
|---|---|
| Pages (from-to) | 469-495 |
| Number of pages | 27 |
| Journal | Journal of Financial Research |
| Volume | 44 |
| Issue number | 3 |
| Early online date | 1 Apr 2021 |
| DOIs | |
| Publication status | Published - 1 Sept 2021 |
| Externally published | Yes |
Bibliographical note
Publisher Copyright:© 2021 The Southern Finance Association and the Southwestern Finance Association
Funding
I acknowledge the financial support from Multi‐Year Research Grant (MYRG2020‐00042‐FBA) at the University of Macau. All errors remain my own responsibility.
Fingerprint
Dive into the research topics of 'Round-number biases on trading time: Evidence from international markets'. Together they form a unique fingerprint.Cite this
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver