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Share price clustering in Mexico

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Author Info

  • Narayan, Paresh Kumar
  • Narayan, Seema
  • Popp, Stephan
  • D'Rosario, Michael

Abstract

In this paper, we test the share price clustering phenomena and its determinants for the Mexican share market. We consider the top-12 listed companies. We observe cases of significant price clustering behaviour in the Mexican share market. Our analysis of the determinants of price clustering reveals that volume and volatility negatively impact price clustering, consistent with theory. However, own price has a negative effect on price clustering. While this is inconsistent with theory, it implies that in Mexico market participants are concerned about finer partitions of price.

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Bibliographic Info

Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 20 (2011)
Issue (Month): 2 (April)
Pages: 113-119

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Handle: RePEc:eee:finana:v:20:y:2011:i:2:p:113-119

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Web page: http://www.elsevier.com/locate/inca/620166

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Keywords: Price clustering Share market Mexico;

References

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Cited by:
  1. Verousis, Thanos & ap Gwilym, Owain, 2013. "Trade size clustering and the cost of trading at the London Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 91-102.
  2. Paresh Kumar Narayan & Russell Smyth, 2011. "Has political instability contributed to price clustering on Fiji's stock market?," Financial Econometics Series 2011_03, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.

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