Left‐digit biases: Individual and institutional investors
Jinyoung Yu,
Young‐Chul Kim,
Doojin Ryu
Abstract:This study examines the left‐digit bias of individual and institutional investors using the microstructural data set from a highly liquid index futures market. Both investor groups exhibit excess buying after the ask falls with a tens‐digit decrement, whereas excess selling (buying) is observed only for institutions (individuals) after the bid rises with a tens‐digit increment. Such excess buying is generally pronounced when price uncertainty is high. Institutional excess selling is evident when uncertainty is… Show more
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