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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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    1. 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. 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.
    2. Mitchell, Jason & Izan, H.Y., 2006. "Clustering and psychological barriers in exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(4), pages 318-344, October.
    3. 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.
    4. 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.
    5. 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, vol. 36(C), pages 96-102.
    6. 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.
    7. 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, vol. 8(4), pages 421-451, November.
    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. Alexander, Gordon J. & Peterson, Mark A., 2007. "An analysis of trade-size clustering and its relation to stealth trading," Journal of Financial Economics, Elsevier, vol. 84(2), pages 435-471, May.
    10. Mehdi Lallouache & Fr\'ed\'eric Abergel, 2013. "Empirical properties of the foreign exchange interdealer market," Papers 1307.5440, arXiv.org.
    11. 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.
    12. 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.
    13. 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.

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