You can't always get what you want: Trade-size clustering and quantity choice in liquidity [An article from: Journal of Financial Economics]

by P.C. Moulton

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This digital document is a journal article from Journal of Financial Economics, published by Elsevier in . The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

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This paper examines whether investors care more about trading their exact quantity demands at some times than at others. Using a new data set of foreign exchange transactions, I find that customers trade more precise quantities at quarter-end, as evidenced by less trade-size clustering. Customers trade more odd lots and fewer round lots, while the number of trades and total volume are not significantly changed. I also find that the price impact of order flow is greater when customers care more about trading precise quantities. This work sheds new light on trade-size clustering and offers a potential explanation for time-series and cross-sectional variation in common liquidity measures.

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