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

Published online by Cambridge University Press:  19 October 2009

Richard A. Stevenson
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Extract

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.

Type
Communications
Information
Journal of Financial and Quantitative Analysis , Volume 8 , Issue 3 , June 1973 , pp. 527 - 533
Copyright
Copyright © School of Business Administration, University of Washington 1973

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References

[1] American Stock Exchange. AMEX Databook 1971.Google Scholar
[2] New York Stock Exchange. Exchange Report, March 19, 1971, p. 4.Google Scholar
[3] New York Stock Exchange. Factbook-1971.Google Scholar
[4] New York Stock Exchange. 1971 Public Transaction Study.Google Scholar
[5] New York Stock Exchange. Shareownership-1970.Google Scholar
[6]Stevenson, Richard A. “Brokerage Commissions and the Small Stockholder.” Unpublished manuscript.Google Scholar
[7]Stevenson, Richard A. “Investment Clubs and Their Importance to Management.” MSU Business Topics, Winter 1972, pp. 30–34.Google Scholar
[8]Wu, Hsiu-Kwang. “Odd-Lot Trading in the Stock Market and Its Market Impact.” Journal of Financial and Quantitative Analysis, January 1972, pp. 1321–1344.Google Scholar