We obtain a unique dataset to examine the effect of the Shanghai-Hong Kong Stock Connect program, which allows foreign investors from Hong Kong to buy stocks listed in Shanghai (northbound) and domestic investors from mainland China to buy stocks listed in Hong Kong (southbound). There is a...

We examine the rise of odd-lot trading activity and nominal stock prices in recent years. We find that odd-lot trading activity is positively associated with nominal stock price, for both time-series and cross-sectional variation. After stock splits (reverse split), the odd-lot trading activity...