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Odd-Lot Trading in the Stock Market and Its Market Impact: A Comment

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  • Stevenson, Richard A.

Abstract

Professor Wu, in his recent article [8], investigated the trading activities of odd-lotters and their market impact. The purpose of this note is to update the data examined by Wu since recent trends are extremely significant and to question the use and interpretation of some of Wu's original data. In addition, some errors in Wu's article will be discussed.

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  • Stevenson, Richard A., 1973. "Odd-Lot Trading in the Stock Market and Its Market Impact: A Comment," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(3), pages 527-533, June.
    • Handle: RePEc:cup:jfinqa:v:8:y:1973:i:03:p:527-533_01
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    1. Thanos Verousis & Pietro Perotti & Georgios Sermpinis, 2018. "One size fits all? High frequency trading, tick size changes and the implications for exchanges: market quality and market structure considerations," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 353-392, February.

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