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Price clustering in foreign exchange spot markets

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  • Sopranzetti, Ben J.
  • Datar, Vinay
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    File URL: http://www.sciencedirect.com/science/article/B6VHN-44B6YVV-2/2/1e2952273a29b15a01cca1e9d7744515
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Markets.

    Volume (Year): 5 (2002)
    Issue (Month): 4 (October)
    Pages: 411-417

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    Handle: RePEc:eee:finmar:v:5:y:2002:i:4:p:411-417

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    Web page: http://www.elsevier.com/locate/finmar

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Charles Kahn & George Pennacchi & Ben Sopranzetti, 1996. "Bank deposit rate clustering: theory and empirical evidence," Working Paper 9604, Federal Reserve Bank of Cleveland.
    2. Harris, Lawrence, 1991. "Stock Price Clustering and Discreteness," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 389-415.
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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. Meng, Lei & Verousis, Thanos & ap Gwilym, Owain, 2013. "A substitution effect between price clustering and size clustering in credit default swaps," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 24(C), pages 139-152.
    3. Alexander, Gordon J. & Peterson, Mark A., 2007. "An analysis of trade-size clustering and its relation to stealth trading," Journal of Financial Economics, Elsevier, Elsevier, vol. 84(2), pages 435-471, May.
    4. Fischer, Andreas M, 2004. "Price Clustering in the FX Market: A Disaggregate Analysis Using Central Bank Intervention," CEPR Discussion Papers 4529, C.E.P.R. Discussion Papers.
    5. Mitchell, Jason & Izan, H.Y., 2006. "Clustering and psychological barriers in exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 16(4), pages 318-344, October.
    6. McGroarty, Frank & ap Gwilym, Owain & Thomas, Stephen, 2006. "Microstructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU," Global Finance Journal, Elsevier, vol. 17(1), pages 23-49, September.
    7. 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.
    8. Bharati, Rakesh & Crain, Susan J. & Kaminski, Vincent, 2012. "Clustering in crude oil prices and the target pricing zone hypothesis," Energy Economics, Elsevier, vol. 34(4), pages 1115-1123.
    9. Mehdi Lallouache & Fr\'ed\'eric Abergel, 2013. "Tick Size Reduction and Price Clustering in a FX Order Book," Papers 1307.5440, arXiv.org, revised May 2014.
    10. Ahn, Hee-Joon & Cai, Jun & Cheung, Yan Leung, 2005. "Price clustering on the limit-order book: Evidence from the Stock Exchange of Hong Kong," Journal of Financial Markets, Elsevier, Elsevier, vol. 8(4), pages 421-451, November.
    11. Narayan, Paresh Kumar & Narayan, Seema & Popp, Stephan & D'Rosario, Michael, 2011. "Share price clustering in Mexico," International Review of Financial Analysis, Elsevier, vol. 20(2), pages 113-119, April.
    12. Lynn, Michael & Flynn, Sean Masaki & Helion, Chelsea, 2013. "Do consumers prefer round prices? Evidence from pay-what-you-want decisions and self-pumped gasoline purchases," Journal of Economic Psychology, Elsevier, Elsevier, vol. 36(C), pages 96-102.
    13. Sonnemans, Joep, 2006. "Price clustering and natural resistance points in the Dutch stock market: A natural experiment," European Economic Review, Elsevier, vol. 50(8), pages 1937-1950, November.
    14. Narayan, Paresh Kumar & Narayan, Seema & Popp, Stephan, 2011. "Investigating price clustering in the oil futures market," Applied Energy, Elsevier, vol. 88(1), pages 397-402, January.

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