Round‐number biases on trading time: Evidence from international markets
研究发现国际市场中投资者倾向于在每分钟的第0秒进行交易，这种整数时间偏差主要由机构投资者的算法交易驱动，且这些交易包含价值相关信息，能预测日内收益并产生正收益。
Abstract In this article I investigate whether the round‐number heuristic affects investors' selection of trading time in the international market. I document the existence of round‐time biases, as evidenced by trading activities intensifying at second 0 of 1 min. Further examination suggests that the round‐time anomaly is likely driven by algorithmic trading from institutional investors. Consistent with this inference, I demonstrate that round‐time transactions carry value‐relevant information, have the predictive power for intraday‐level returns, and yield the positive daily trading revenue.