Price Clustering on the Tokyo Stock Exchange
AbstractThis paper examines price clustering on the Tokyo Stock Exchange (TSE). Regardless of tick and lot size, prices ending in zero and five are the most popular. The TSE has no market makers or direct negotiation between traders; therefore, clustering is not explained by collusion or negotiation. Our evidence supports the attraction hypothesis. Clustering also extends to order book depth. There is evidence of strategic trading behavior as traders place orders one price tick better than zero and five to avoid queuing orders at prices ending in these digits. Strategic trading behavior declined and clustering increased when the market became anonymous. Copyright 2007, The Eastern Finance Association.
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Bibliographic InfoArticle provided by Eastern Finance Association in its journal Financial Review.
Volume (Year): 42 (2007)
Issue (Month): 2 (05)
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- Narayan, Paresh Kumar & Smyth, Russell, 2013.
"Has political instability contributed to price clustering on Fiji's stock market?,"
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- Kirsten Rüchardt & Bodo Vogt, 2009. "Comparison of the Stock Price Clustering of stocks which are traded in the US and Germany—Is XETRA more efficient than the NYSE?," FEMM Working Papers 09016, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
- Hao-Chen Liu, 2011. "Timing of price clustering and trader behavior in the foreign exchange market: evidence from Taiwan," Journal of Economics and Finance, Springer, vol. 35(2), pages 198-210, April.
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