By Herbert Lash
NEW YORK Dec 10 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, trading data
showed on Tuesday.
Almost one out of every six trades, or 17.5 percent, that
were reported on Monday to the "consolidated tape" were odd
lots, according to the Consolidated Tape Association, a group
that includes all the U.S. stock exchanges, among others.
More than half the trading in high-priced stocks, such as
Google Inc, was transacted in odd lots, as a common lot
of 100 shares in the company costs more than $100,000.
One out of every four trades on Nasdaq were odd lots, and
made up 5.5 percent of the exchange's volume, the highest
figures for all the U.S. exchanges, according to the CTA data.
Some stocks traded almost entirely in odd lots. Of stocks
that traded more than 100,000 shares, 27 had half or more of
their trades done in odd lots.
More than 83 percent of trades in White Mountain Insurance
Group Ltd were odd lots, making it the stock with the
highest percentage of transactions with fewer than 100 shares.
But only 290 trades were executed in White Mountain,
compared with 21,028 trades in Google, 67.5 percent of which
were transacted in odd lots, the CTA data showed.
Shares in White Mountain, a mid-cap stock, closed at $598.15
on Monday, according to Thomson Reuters, with volume at 109,991
shares. Google volume totaled 1.48 million shares on Monday, the
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 brokerages 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 regarding 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.