Odd-lot trades add 3 pct volume to consolidated tape -report
NEW YORK Dec 10 (Reuters) - Transactions in trades of less than 100 shares boosted reported volume by 3 percent on the first day that "odd lots" were included in the public dissemination of stock quotes and sale prices, brokerage Credit Suisse said on Tuesday.
As expected, trades in odd lots increased volume to the "consolidated tape" by 70 percent when compared to trading activity over the past 30 days in stocks that trade at $300 or higher, Credit Suisse said in a report.
Before Monday, when odd lots began to print to the consolidated tape, this data was only available on proprietary data feeds the New York Stock Exchange and Nasdaq sell.
The "consolidated tape" is a service all brokerage must buy to show customers they have obtained the best prices available.
Questions about odd-lot trades were raised almost four years ago by U.S. security regulators, especially their impact on price discovery, a key attribute of the market where buying and selling determines a security's price.
Research by Professor Maureen O'Hara of Cornell University and two others had shown that odd lots contributed, in some stocks, to 30 percent of price discovery. Yet that information was not being reported to the consolidated tape until Monday.
O'Hara said in an e-mail she was pleased for getting recognition for the study "What's Not There: Odd-Lot Bias in TAQ Data," which was also co-authored by Chen Yao and Mao Ye, both with the University of Illinois at the time.
The odd-lot study raised questions about the fairness of excluding trade information, which O'Hara said was content-rich, to the 2.5 million subscribers of the consolidated tape.
"Most academic research gets dismissed, so it is fun to have a paper that actually changed a market," said O'Hara, a leading academic in the study of how electronic markets work through so-called signal processing.
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